On estimation and testing when explanatory variables are partly endogenous

DOI10.1016/0304-4076(94)90093-0MaRDI QIDQ1318980zbMATH OpenOpenAlexFDO

Authors Shigeru Iwata

Publication date 9 June 1994

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

Full work available at URL https://doi.org/10.1016/0304-4076(94)90093-0

zbMATH Keywords

explanatory variablesinstrumental variables estimatorsparameter restrictionsprior informationregression errorsrestricted GMM estimationrestricted least squares estimatorunidentified model

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Recommendations

• Estimation and testing when explanatory variables are endogenous. An application to a demand system
• General instrumental variables estimation under stochastic linear restrictions
• Efficient estimation of limited dependent variable models with endogenous explanatory variables
• Linear instrumental variable estimation of limited dependent variable models with endogenous explanatory variables
• Structural inference from reduced forms with many instruments

Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Processes
• Asymptotic Properties of Non-Linear Least Squares Estimators
• Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
• Errors in variables: consistent adjusted least squares (cals) estimation
• Estimation and testing when explanatory variables are endogenous. An application to a demand system
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 3157499 (Why is no real title available?)
• scientific article; zbMATH DE number 3988509 (Why is no real title available?)
• Interpretation and Use of Generalized Chow Tests
• Large Sample Properties of Generalized Method of Moments Estimators
• Linear Statistical Inference and its Applications
• Schur complements and statistics
• The Lagrangian Multiplier Test
• Two-step two-stage least squares estimation in models with rational expectations

Cited in

(5)

• Model specification and endogeneity
• When is it justifiable to ignore explanatory variable endogeneity in a regression model?
• When is it really justifiable to ignore explanatory variable endogeneity in a regression model?
• Testing the impossible: identifying exclusion restrictions
• Estimation and testing when explanatory variables are endogenous. An application to a demand system

Describes a project that uses

Uses Software

• nlmdl

This page was built for publication: On estimation and testing when explanatory variables are partly endogenous

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1318980)