The zero-information-limit condition and spurious inference in weakly identified models

DOI10.1016/J.JECONOM.2006.05.014zbMath1418.62525OpenAlexW2071283616MaRDI QIDQ277154

Richard Startz, Charles R. Nelson

Publication date: 4 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.05.014

zbMATH Keywords

weak instrumentsspurious inferenceweak identification

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cites Work

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• Finite sample properties of estimators for autoregressive moving average models
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• Instrumental Variables Regression with Weak Instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments
• GMM with Weak Identification
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations

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