Inference in limited dependent variable models robust to weak identification
Leandro Magnusson ()
Econometrics Journal, 2010, vol. 13, issue 3, S56-S79
We propose tests for structural parameters in limited dependent variable models with endogenous explanatory variables. These tests are based upon the generalized minimum distance principle. They are of the correct size regardless of whether the structural parameters are identified and are especially appropriate for models whose moment conditions are non-linear in the parameters. Moreover, they are computationally simple, allowing them to be implemented using a large number of statistical software packages. We compare our tests to Wald tests in a simulation experiment and use them to analyse the female labour supply and the demand for cigarettes. Copyright (C) 2010 The Author(s). The Econometrics Journal (C) 2010 Royal Economic Society
References: Add references at CitEc
Citations View citations in EconPapers (6) Track citations by RSS feed
Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2009.00309.x link to full text (text/html)
Access to full text is restricted to subscribers.
Working Paper: Inference in Limited Dependent Variable Models Robust to Weak Identification (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ect:emjrnl:v:13:y:2010:i:3:p:s56-s79
Ordering information: This journal article can be ordered from
Access Statistics for this article
Econometrics Journal is currently edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring and Marius Ooms
More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Series data maintained by Wiley-Blackwell Digital Licensing ().