Identification weak instruments and statistical inference in by Dufour J.-M.

By Dufour J.-M.

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L. ) (1994): Handbook of Econometrics, Volume 4. North-Holland, Amsterdam. FAUST, J. (1996): “Near Observational Equivalence Problems and Theoretical Size Problems with Unit Root Tests,” Econometric Theory, 12, 724–732. FAUST, J. (1999): “Theoretical confidence level problems with confidence intervals for the spectrum of a time series,” Econometrica, 67, 629–637. F ISHER , F. M. (1976): The Identification Problem in Econometrics. Krieger Publishing Company, Huntington (New York). G LESER , L. , AND J.

H. C. (2003): “Detecting Lack of Identification in GMM,” Econometric Theory, 19(2), 322–330. W RIGHT, P. G. (1928): The Tariff on Animal and Vegetable Oils. Macmillan, New York. , R. S TARTZ , AND C. R. N ELSON (1998): “Valid Confidence Intervals and Inference in the Presence of Weak Instruments,” International Economic Review, 39, 1119–1144. (2003): “Inference in Partially Identified Instrumental Variables Regression with Weak Instruments,” Discussion paper, Department of Economics, University of Washington.

L. (1986): Testing Statistical Hypotheses, 2nd edition. John Wiley & Sons, New York. L EHMANN , E. , AND C. S TEIN (1949): “On the Theory of some Non-Parametric Hypotheses,” Annals of Mathematical Statistics, 20, 28–45. M AASOUMI , E. (1992): “Fellow’s Opinion: Rules of Thumb and Pseudo-Science,” Journal of Econometrics, 53, 1–4. 35 M AC K INNON , J. G. (2002): “Bootstrap Inference in Econometrics,” Canadian Journal of Economics, 35(4), 615–645. M ADDALA , G. S. (1974): “Some Small Sample Evidence on Tests of Significance in Simultaneous Equations Models,” Econometrica, 42, 841–851.

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