Economics - Research Publications

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Start date: 2001 × End date: 2009 × Subject: C12 - Hypothesis Testing × Subject: C13 - Estimation × Type: Preprint ×

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    Small Concentration Asymptotics andInstrumental Variables Inference
    Poskitt, D. S. ; Skeels, Christopher L. ( 2005-09)
    Poskitt and Skeels (2005) provide a new approximation to the sampling distributionof the IV estimator in a simultaneous equations model, the approximation isappropriate when the concentration parameter associated with the reduced formmodel is small. We present approximations to the sampling distributions of variousfunctions of the IV estimator based upon small-concentration asymptotics, andinvestigate hypothesis testing procedures and confidence region construction usingthese approximations. We explore the relationship between our work and the Kstatistic of Kleibergen (2002) and demonstrate that our results can be used to explainthe sampling behaviour of the K statistic in simultaneous equations modelswhere identification is weak.