Partially Identified Econometric Models

Peter Phillips

No 845R, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper studies a class of models where full identification is not necessarily assumed. We term such models partially identified. It is argued that partially identified systems are of practical importance since empirical investigators frequently proceed under conditions that are best described as apparent identification. One objective of the paper is to explore the properties of conventional statistical procedures in the context of identification failure. Our analysis concentrates on two major types of partially identified model: the classic simultaneous equations model under rank condition failures; and time series spurious regressions. Both types serve to illustrate the extensions that are needed to conventional asymptotic theory if the theory is to accommodate partially identified systems.

Keywords: Gaussian functionals; identification; simultaneous equations; spurious regressions; asymptotic theory (search for similar items in EconPapers)
Pages: 95 pages
Date: 1987, Revised 1988-08
Note: CFP 728.
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Citations: View citations in EconPapers (29)

Published in Econometric Theory (1989), 5: 181-240

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