Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models

DOI10.2307/2171740zbMATH Open0886.62116OpenAlexW2122480349MaRDI QIDQ4367741FDOQ4367741

Authors: Jean-Marie Dufour 

Publication date: 10 May 1998

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/09d309cee5f28788abcb391bbbaf56c1ba62c835

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zbMATH Keywords

identificationtestingcointegrationdynamic modelconfidence setsstructural modelfinite-sample theoryweak intruments

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric tolerance and confidence regions (62F25) Statistical methods; economic indices and measures (91B82)

Cited In (only showing first 100 items - show all)

• Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
• Applications of subsampling, hybrid, and size-correction methods
• Asymptotic size and a problem with subsampling and with the \(m\) out of \(n\) bootstrap
• Empirically relevant critical values for hypothesis tests: A bootstrap approach
• Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes
• Some impossibility results for inference with cluster dependence with large clusters
• VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES
• Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics
• Simulation based finite and large sample tests in multivariate regressions
• Finite sample multivariate tests of asset pricing models with coskewness
• Simulation-based exact jump tests in models with conditional heteroskedasticity
• MMC techniques for limited dependent variables models: implementation by the branch-and-bound algorithm
• Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
• GMM estimation and uniform subvector inference with possible identification failure
• The zero-information-limit condition and spurious inference in weakly identified models
• Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases
• Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
• Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics
• Bonferroni-based size-correction for nonstandard testing problems
• Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
• A smoothed least squares estimator for threshold regression models
• Testing under weak identification with conditional moment restrictions
• Generalized empirical likelihood tests in time series models with potential identification failure
• Examining bias in estimators of linear rational expectations models under misspecification
• Symmetry-based inference in an instrumental variable setting
• Weak identification robust tests in an instrumental quantile model
• Bootstrap validity for the score test when instruments may be weak
• Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities
• Efficient forecast tests for conditional policy forecasts
• Testing joint hypotheses when one of the alternatives is one-sided
• Bayesian bootstrap multivariate regression
• Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models
• Tests of risk premia in linear factor models
• Robust confidence sets in the presence of weak instruments
• ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS
• On size and power of heteroskedasticity and autocorrelation robust tests
• Identification robust confidence set methods for inference on parameter ratios with application to discrete choice models
• On the precision of Calvo parameter estimates in structural NKPC models
• Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form
• Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis
• The bootstrap and hypothesis tests in econometrics
• Detecting lack of identification in GMM
• Instrument endogeneity and identification-robust tests: some analytical results
• Frequentist inference in weakly identified dynamic stochastic general equilibrium models
• Identification-robust simulation-based inference in joint discrete/continuous models for energy markets
• OLS and IV estimation of regression models including endogenous interaction terms
• Conditional inference for possibly unidentified structural equations
• Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments
• Robust inference in nonlinear models with mixed identification strength
• On nonparametric inference in the regression discontinuity design
• A new projection-type split-sample score test in linear instrumental variables regression
• Tests based on \(t\)-statistics for IV regression with weak instruments
• Bootstrap inference in a linear equation estimated by instrumental variables
• Testing endogeneity with high dimensional covariates
• Regression discontinuity designs, white noise models, and minimax
• Tests with correct size when instruments can be arbitrarily weak
• A new method of projection-based inference in GMM with weakly identified nuisance parameters
• Maximum likelihood estimation and uniform inference with sporadic identification failure
• ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
• Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
• Identification robust inference in cointegrating regressions
• Rank tests for instrumental variables regression with weak instruments
• Testing hypotheses on the unidentifiable structural parameters in the classical ``errors-in-variables model with application to Friedman's permanent income model
• On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
• A class of simple distribution-free rank-based unit root tests
• ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION
• GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
• OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE
• A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS
• GEL statistics under weak identification
• Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves
• Foundations of multivariate inference using modern computers
• Does health behavior change after diagnosis? Evidence from fuzzy regression discontinuity
• Making predictions using poorly identified mathematical models
• Difficulties in testing for capital overaccumulation
• Confidence sets based on inverting Anderson-Rubin tests
• IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS
• Estimation uncertainty in structural inflation models with real wage rigidities
• Weak identification in probit models with endogenous covariates
• Combining \(p\)-values to test for multiple structural breaks in cointegrated regressions
• Editors' introduction. Special issue in honor of Jean-Marie Dufour on identification, inference, and causality
• Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
• Impossible inference in econometrics: theory and applications
• Inference in second-order identified models
• Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels
• Testing identification strength
• Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors
• The polar confidence curve for a ratio
• The indirect continuous-GMM estimation
• Quantile regression on quantile ranges -- a threshold approach
• Identification and inference in a simultaneous equation under alternative information sets and sampling schemes
• Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
• The asymptotic properties of GMM and indirect inference under second-order identification
• Two geometric representations of confidence intervals for ratios of linear combinations of regression parameters: an application to the NAIRU
• Bootstrap inference for instrumental variable models with many weak instruments
• Projection-based inference with particle swarm optimization
• How mathematical impossibility changed welfare economics: a history of Arrow's impossibility theorem
• On the relevance of weaker instruments
• Bootstrap confidence sets with weak instruments
• Identification-robust nonparametric inference in a linear IV model

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