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Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
Abstract
General characterizations of valid confidence sets and tests in problems which involve locally almost unidentified (LAU) parameters are provided and applied to several econometric models. Two types of inference problems are studied: (1) inference about parameters which are not identifiable on certain subsets of the parameter space, and (2) inference about parameter transformations with discontinuities. When a LAU parameter or parametric function has an unbounded range, it is shown under general regularity conditions that any valid confidence set with level 1 − α for this parameter must be unbounded with probability close to 1−α in the neighborhood of nonidentification subsets and will have a non-zero probability of being unbounded under any distribution compatible with
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Instrumental Variables Regression with Weak Instruments
Staiger, D., & Stock, J. (1994) · doi:10.3386/t0151 · Cited by 5,302
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The fallacy of placing confidence in confidence intervals
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“Moreover, in this case the interval will contain impossible values, because it will be wider than the likelihood.”
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Metadata
- Authors
- Dufour, J.-M.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1997-11
- Volume
- 65
- Issue
- 6
- Pages
- 1365
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2122480349
- Cited by
- 556
- References
- 1
- FWCI
- 11.97
- Type
- journal article
- Language
- en
- Open access
- closed
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