Some impossibility theorems in econometrics with applications to structural and dynamic models

Econometrica

Volumn 65, Issue 6, 1997, Pages 1365-1387

  Dufour, Jean Marie ^a  

^a NONE

Author keywords

Cointegration; Confidence set; Dynamic model; Finite sample theory; Identification; Structural model; Testing; Weak instruments

Indexed keywords

EID: 0000417969     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.2307/2171740     Document Type: Article

References (55)

1. ANDERSON, T. W. (1984): An Introduction to Multivariate Statistical Analysis, Second Edition. New York: John Wiley & Sons.
2. ANDERSON, T. W., AND H. RUBIN (1949): "Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations," Annals of Mathematical Statistics, 20, 46-63.
3. ANGRIST, J. D., AND A. B. KRUEGER (1994): "Split Sample Instrumental Variables," Technical Working Paper 150, N.B.E.R., Cambridge, MA.
4. BANERJEE, A., J. DOLADO, J. W. GALBRAITH, AND D. F. HENDRY (1993): Co-integration, Error Correction, and the Econometric Analysis of Non-stationary Data. New York: Oxford University Press.
5. BILLINGSLEY, P. (1968): Convergence of Probability Measures. New York: John Wiley & Sons.
6. BLOUGH, S. R. (1992): "The Relationship between Power and Level for Generic Unit Root Tests in Finite Samples," Journal of Applied Econometrics, 7, 295-308.
7. BOUND, J., D. A. JAEGER, AND R. M. BAKER (1995): "Problems With Instrumental Variables Estimation When the Correlation Between the Instruments and the Endogenous Explanatory Variable Is Weak," Journal of the American Statistical Association, 90, 443-450.
8. BOWDEN, R. (1973): "The Theory of Parametric Identification," Econometrica, 41, 1069-1074.
9. BREUSCH, T. S. (1986): "Hypothesis Testing in Unidentified Models," Review of Economic Studies, 53, 635-651.
10. BREUSCH, T. S., AND P. SCHMIDT (1988): "Alternative Forms of the Wald Test: How Long is a Piece of String?" Communications in Statistics, Theory and Methods, 17, 2789-2795.
11. BUNKE, H., AND O. BUNKE (1974): "Identifiability and Consistency," Mathematische Operationsforschung und Statistik, 5, 223-233.
12. BUSE, A. (1992): "The Bias of Instrumental Variables Estimators," Econometrica, 60, 173-180.
13. CHOI, I., AND P. C. B. PHILLIPS (1992): "Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations," Journal of Econometrics, 51, 113-150.
14. COCHRANE, J. H. (1991): "A Critique of the Application of Unit Root Tests," Journal of Economic Dynamics and Control, 15, 275-284.
15. DAGENAIS, M. G., AND J.-M. DUFOUR (1991): "Invariance, Nonlinear Models and Asymptotic Tests," Econometrica, 59, 1601-1615.
16. DEISTLER, M., AND H.-G. SEIFERT (1978): "Identifiability and Consistent Estimability in Econometric Models," Econometrica, 46, 969-980.
17. DUFOUR, J.-M. (1989): "Nonlinear Hypotheses, Inequality Restrictions, and Non-Nested Hypotheses: Exact Simultaneous Tests in Linear Regressions," Econometrica, 57, 335-355.
18. _ (1990): "Exact Tests and Confidence Sets in Linear Regressions with Autocorrelated Errors," Econometrica, 58, 475-494.
19. DUFOUR, J.-M., AND J. JASIAK (1994): "Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors,Technical Report, C.R.D.E., Université de Montréal.
20. DUFOUR, J.-M., AND L. KHALAF (1996a): "Simulation Based Finite and Large Sample Inference Methods in Seemingly Unrelated Regressions," Technical Report, C.R.D.E., Université de Montreal.
21. _ (1996b): "Simulation Based Finite and Large Sample Inference Methods in Simultaneous Equations," Technical Report, C.R.D.E., Université de Montréal.
22. DUFOUR, J.-M., AND J. F. KIVIET (1994): "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Econometrica, forthcoming.
23. ENGLE, R. F., AND C. W. J. GRANGER (1991): Long-Run Economic Relationships. New York: Oxford University Press.
24. FIELLER, E. C. (1954): "Some Problems in Interval Estimation," Journal of the Royal Statistical Society, Series B, 16, 175-185.
25. FISHER, F. M. (1976): The Identification Problem in Econometrics. Huntington, New York: Krieger Publishing Company.
26. FISHER, R. (1934): "Two New Properties of Mathematical Likelihood," Proceedings of the Royal Society of London A, 144, 285-307.
27. GLESER, L. J., AND J. T. HWANG (1987): "The Nonexistence of 100(1 - α) Confidence Sets of Finite Expected Diameter in Errors in Variables and Related Models," The Annals of Statistics, 15, 1351-1362.
28. GONZALO, J. (1994): "Five Alternative Methods of Estimating Long-Run Equilibrium Relationships," Journal of Econometrics, 60, 203-233.
29. HALL, A. R., G. D. RUDEBUSCH, AND D. W. WILCOX (1996): "Judging; Instrument Relevance in Instrumental Variables Estimation," International Economic Review, 37, 283-298.
30. HECKMAN, J. J., AND R. ROBB (1986): "Alternative Identifying Assumptions in Econometric Models of Selection Bias," in Advances in Econometrics, Volume 5, Innovations in Quantitative Economics: Essays in Honor of Robert L. Basmann, ed. by D. J. Slottje and G. F. Rhodes Jr. Greenwich, Conn.: JAI Press, pp. 243-287.
31. HILLIER, G. H. (1990): "On the Normalization of Structural Equations: Properties of Direction Estimators," Econometrica, 58, 1181-1194.
32. HSIAO, C. (1983): "Identification," in Handbook of Econometrics, Volume 1, ed. by Z. Griliches and M. D. Intrilligator. Amsterdam: North-Holland, Chapter 4, pp. 223-283.
33. JOHANSEN, S. (1988): "Statistical Analysis of Cointegrating Vectors," Journal of Economic Dynamics and Control, 12, 231-254.
34. JOHANSEN, S., AND K. JUSELIUS (1994): "Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model," Journal of Econometrics, 63, 7-36.
35. KOSCHAT, M. A. (1987): "A Charaterization of the Fieller Solution," The Annals of Statistics, 15, 462-468.
36. LEHMANN, E. L. (1986): Testing Statistical Hypotheses, 2nd Edition. New York: John Wiley & Sons.
37. MADDALA, G. S. (1974): "Some Small Sample Evidence on Tests of Significance in Simultaneous Equations Models," Econometrica, 42, 841-851.
38. MADDALA, G. S., AND J. JEONG (1992): "On the Exact Small Sample Distribution of the Instrumental Variable Estimator," Econometrica, 60, 181-183.
39. MCMANUS, D. A., J. C. NANKERVIS, AND N. E. SAVIN (1994): "Multiple Optima and Asymptotic Approximations in the Patial Adjustment Model," Journal of Econometrics, 62, 91-128.
40. MIYAZAKI, S., AND W. E. GRIFFITHS (1984): "The Properties of Some Covariance Matrix Estimators in Linear Models with Autocorrelated Errors," Economics Letters, 14, 351-356.
41. NELSON, C. R., AND R. STARTZ (1990a): "The Distribution of the Instrumental Variable Estimator and its t Ratio When the Instrument is a Poor One," Journal of Business, 63, 125-140.
42. _ (1990b): "Some Further Results on the Exact Small Properties of the Instrumental Variable Estimator," Econometrica, 58, 967-976.
43. NELSON, C. R., R. STARTZ, AND E. ZIVOT (1996): "Valid Confidence Intervals and Inference in the Presence of Weak Instruments," Technical Report, Department of Economics, University of Washington.
44. NELSON, F. D., AND N. E. SAVIN (1990): "The Danger of Extrapolating Asymptotic Local Power," Econometrica, 58, 977-981.
45. PARK, R. E., AND B. M. MITCHELL (1980): "Estimating the Autocorrelated Error Model with Trended Data," Journal of Econometrics, 13, 185-201.
46. PHILLIPS, P. C. B. (1983): "Exact Small Sample Theory in the Simultaneous Equations Model," in Handbook of Econometrics, Volume 1, ed. by Z. Griliches and M. D. Intrilligator. Amsterdam: North-Holland, Chapter 8, pp. 449-516.
47. _ (1984): "The Exact Distribution of LIML: I," International Economic Review, 25, 249-261.
48. _ (1985): "The Exact Distribution of LIML: II," International Economic Review, 26, 21-36.
49. _ (1989): "Partially Identified Econometric Models," Econometric Theory, 5, 181-240.
50. PRAKASA RAO, B. L. S. (1992): Identifiability in Stochastic Models: Characterization of Probability Distributions, New York: Academic Press.
51. RAO, C. R. (1973): Linear Statistical Inference and its Applications, Second Edition. New York: John Wiley & Sons.
52. ROTHENBERG, T. J. (1971): "Identification in Parametric Models," Econometrica, 39, 577-591.
53. SARGAN, J. D. (1983): "Identification and Lack of Identification," Econometrica, 51, 1605-1633.
54. SIMS, C. (1980): "Macroeconomics and Reality," Econometrica, 48, 1-48.
55. STAIGER, D., AND J. H. Stock (1994): "Instrumental Variables Regression with Weak Instruments," Econometrica, 67, 557-586.