Testing Identifiability and Specification in Instrumental Variable Models
- 1 April 1993
- journal article
- research article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 9 (2), 222-240
- https://doi.org/10.1017/s0266466600007519
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.Keywords
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