Efficient Inference with Time-Varying Identification Strength
Abstract
In this paper, we develop inference procedures to detect both parameter instability and changes in the strength of identification, or strength of instrumental variables. If parameter instability is not linked to changes in instrument strength, we show consistency of standard GMM inference methods. We also show that incorporating information about the break-point leads to more efficient GMM estimators. On the other hand, if parameter instability is linked to changes in instrument strength, we develop methods to estimate the location and magnitude of such changes. We derive the asymptotic distribution of 2SLS and GMM structural parameter estimates in different subsamples, and show which inference methods are valid and efficient.
This event is organised by the Econometric Institute.
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Information
- Type
- Research Seminar
- Programme
- Finance & Accounting
- Date
- Thu. 24 Oct. 2013
- Time
- 16:00 - 17:00
- Location
- Tinbergen Building H10-31
