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Testing underidentification in linear models, with applications to dynamic panel and asset pricing models

Abstract:

This paper develops the links between overidentification tests, underidentification tests, score tests and the Cragg and Donald (1993, 1997) and Kleibergen and Paap (2006) rank tests in linear instrumental variable (IV) models. For the structural linear model y = Xβ + u, with the endogenous explanatory variables partitioned as X = [x1 X2], this general framework shows that standard underidentification tests are tests for overidentification in an auxiliary linear model, x1 = X2δ ...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1016/j.jeconom.2021.03.007

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Institution:
University of Oxford
Division:
MPLS
Department:
Statistics
Oxford college:
Nuffield College
Role:
Author
ORCID:
0000-0002-4232-2783
Publisher:
Elsevier
Journal:
Journal of Econometrics More from this journal
Volume:
240
Issue:
2
Article number:
105104
Publication date:
2021-04-17
Acceptance date:
2021-03-20
DOI:
ISSN:
0304-4076
Language:
English
Keywords:
Pubs id:
1168851
Local pid:
pubs:1168851
Deposit date:
2021-03-21

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