Identification and Asymptotic Approximations
Three Examples of Progress in Econometric Theory
Bibliographic Data
| ID | 4750866 |
|---|---|
| Authors | James L Powell (0000-0002-8362-6863, James L. Powell is the George Break and Helen Schnacke Break Distinguished Professor of Economics, University of California, Berkeley, California., corresponding author) |
| Year | 2017 |
| Volume | 31 |
| Issue | 2 |
| Pages | 107-124 |
| Publication date | 2017-05-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Journal of Economic Perspectives (JOURNAL) |
| Journal identifiers | ISSN: 0895-3309 • E-ISSN: 1944-7965 |
| Publisher | American Economic Association (PUBLISHER • US) |
| DOI | 10.1257/jep.31.2.107 |
| OpenAlex | W2610439248 |
| Language | EN |
| Citations received | 2 |
| References cited | 56 |
In empirical economics, the size and quality of datasets and computational power has grown substantially, along with the size and complexity of the econometric models and the population parameters of interest. With more and better data, it is natural to expect to be able to answer more subtle questions about population relationships, and to pay more attention to the consequences of misspecification of the model for the empirical conclusions. Much of the recent work in econometrics has emphasized two themes: The first is the fragility of statistical identification. The other, related theme involves the way economists make large-sample approximations to the distributions of estimators and test statistics. I will discuss how these issues of identification and alternative asymptotic approximations have been studied in three research areas: analysis of linear endogenous regressor models with many and/or weak instruments; nonparametric models with endogenous regressors; and estimation of partially identified parameters. These areas offer good examples of the progress that has been made in econometrics
Asymptotic analysis · Econometric model · Econometrics · Economics · Estimator · Fragility · Nonparametric statistics · Population · Sample size determination · Statistics · Financial Risk and Volatility Modeling · Mathematics · Monetary Policy and Economic Impact · Statistical Methods and Inference
Problems with Instrumental Variables Estimation When the Correlation Between the Instruments and the Endogeneous Explanatory Variable is Weak
Monotone Instrumental Variables
Problems with Instrumental Variables Estimation when the Correlation between the Instruments and the Endogenous Explanatory Variable is Weak
An IV Model of Quantile Treatment Effects
Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
Anatomy of the Selection Problem
A Conditional Likelihood Ratio Test for Structural Models
GMM with Weak Identification
Confidence Intervals for Partially Identified Parameters
Large Sample Properties of Generalized Method of Moments Estimators
Instrumental Variables Regression with Weak Instruments
Inference with an Incomplete Model of English Auctions
Does Compulsory School Attendance Affect Schooling and Earnings
| Citations per year | 0.25 |
|---|---|
| Citation span | 2018 - 2019 (2) |
| Highly cited | No |