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Testing Identifiability and Specification in Instrumental Variable Models

Published online by Cambridge University Press:  11 February 2009

John G. Cragg  and
Stephen G. Donald
John G. Cragg
Affiliation:
University of British Columbia
Stephen G. Donald
Affiliation:
University of Florida
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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.

Type
Articles
Information
Econometric Theory , Volume 9 , Issue 2 , April 1993 , pp. 222 - 240
Copyright
Copyright © Cambridge University Press 1993

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