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

DOI10.1016/J.JECONOM.2006.05.014MaRDI QIDQ277154zbMATH OpenOpenAlexFDO

Authors Charles R. Nelson, Richard Startz

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

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

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Cites work

• scientific article; zbMATH DE number 3876450 (Why is no real title available?)
• scientific article; zbMATH DE number 51202 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Finite sample properties of estimators for autoregressive moving average models
• GMM with Weak Identification
• Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments
• Instrumental Variables Regression with Weak Instruments
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models

Cited in

(9)

• Robust inference in nonlinear models with mixed identification strength
• Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
• Efficient estimation of copula-GARCH models
• Maximum likelihood estimation and uniform inference with sporadic identification failure
• Small area estimation with correctly specified linking models
• Modelling nonlinearities in equity returns: the mean impact curve analysis
• Weak identification in the ESTAR model and a new model
• GMM estimation and uniform subvector inference with possible identification failure
• Trend/cycle decomposition of regime-switching processes

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