Econometric Theory

Articles

Testing Identifiability and Specification in Instrumental Variable Models

John G. Cragga1 and Stephen G. Donalda2

a1 University of British Columbia

a2 University of Florida

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.

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