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Some Properties of Tests for Possibly Unidentified Parameters
Forchini, G. - Department of Econometrics and Business Statistics, … - 2005
It is well known that confidence intervals for weakly identified parameters are unbounded with positive probability (e.g. Dufour, Econometrica 65, pp. 1365-1387 and Staiger and Stock, Econometrica 65, pp. 557-586), and that the asymptotic risk of their estimators is unbounded (Pötscher,...
Persistent link: https://www.econbiz.de/10005087614
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Common Shocks in panels with Endogenous Regressors
Forchini, G.; Jiang, Bin; Peng, Bin - Department of Econometrics and Business Statistics, … - 2015
This paper introduces a novel approach to study the effects of common shocks on panel data models with endogenous … readers who wish to further investigate the effects of common shocks on panel data. The paper shows that the key assumption in … determining consistency of the panel TSLS and LIML estimators is the independence of the factor loadings in the reduced form …
Persistent link: https://www.econbiz.de/10011262822