CONDITIONAL INFERENCE FOR POSSIBLY UNIDENTIFIED STRUCTURAL EQUATIONS

Conditional Inference for Possibly Unidenti...ed Structural Equations

The possibility that a structural equation may not be identi...ed casts doubt on the measures of estimator precision that are normally used. We argue that the observed identi...ability test statistic is directly relevant to the precision with which the structural parameters can be estimated, and hence argue that inference in such models should be conditioned on the observed value of that statis...

Conditional Inference on Tables with Structural Zeros

We describe a sequential importance sampling approach to making conditional inferences on two-way zero-one and contingency tables with fixed marginal sums and a given set of structural zeros. Our method enables us to approximate closely the null distributions of various test statistics about these tables, as well as to obtain an accurate estimate of the total number of tables satisfying the con...

Some Properties of Tests for Possibly Unidentified Parameters

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, Econometrica 70, pp.1035-1065). In this note we extend these “impossibility results” and show that uniformly ...

Estimation , Inference , and Specification Testing for Possibly

To date the literature on quantile regression and least absolute deviation regression has assumed either explicitly or implicitly that the conditional quantile regression model is correctly specified. When the model is misspecified, confidence intervals and hypothesis tests based on the conventional covariance matrix are invalid. Although misspecification is a generic phenomenon and correct spe...

Conditional Modeling and Conditional Inference