Instrumental variables regression with weak instruments
Article Abstract:
An alternative asymptotic structure for determining distributions of statistics in single-equation IV regression with n endogenous regressors is established. The partial correlations of the instruments and endogenous variables are classified as weak and in the neighborhood of zero. Two stage least squares and limited information maximum likelihood estimators are given to various statistics. It was observed that asymptotic results will fail even when sample sizes are large when there is no strong association between instruments and endogenous regressors.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1997
User Contributions:
Comment about this article or add new information about this topic:
Efficient tests for an autoregressive unit root
Article Abstract:
An asymptotic approach is used to conduct point-optimal invariant tests for a unit moving-average root. The technique is employed in investigating tests based on the standard Dickey-Fuller t statistic and the modified Dickey-Fuller statistic. Results show that the proposed asymptotic theory can easily compute the standard and modified Dickey-Fuller t statistics from least squares regressions. It also outperforms other computational techniques in terms of small-sample size and power.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1996
User Contributions:
Comment about this article or add new information about this topic:
A simple estimator of cointegrating vectors in higher order integrated systems
Article Abstract:
Asymptotically accurate estimators for cointegrating vectors have been developed using procedures which necessitate some knowledge of cointegrating variables, and how individual series are ordered. The study emphasises cointegrating relations, with short run dynamics parameter dealt with as nuisance parameters. Where short-term dynamics are important, the estimated cointegrating vectors can be imposed. The estimators have been used for an empirical study of the money supply.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1993
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: On trend extraction models: reply on comments by Harvey. Algorithms for explaining forecast revisions
- Abstracts: A stopping rule for the computation of generalized method of moments estimator. The limiting distribution of the maximum rank correlation estimator
- Abstracts: Money demand, the Cagan model and the inflation tax: some Latin American evidence. Modeling the demand for U.K. broad money: 1871-1913
- Abstracts: Temporal aggregation of GARCH processes. Implied probabilities in GMM estimators. Signalling and renegotiation in contractual relationships