Testing Identifiability and Specification in Instrumental Variable Models

John G. Cragg and Stephen Donald

Econometric Theory, 1993, vol. 9, issue 2, 222-240

Abstract: The paper develops and explores tests, based on standard moment specifications, for the identifiability of parameters apparently estimable by instrumental variables. An asymptotic expansion under standard restrictive assumptions on the error distribution suggests a correction to the asymptotic distribution. A small sampling experiment indicates that the tests are of use.

Date: 1993
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:9:y:1993:i:02:p:222-240_00

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