Discontinuities of Weak Instrument Limiting Distributions
Jinyong Hahn and Guido Kuersteiner
,
3
(
75
)
Economics Letters
325-331
May
2002
NearWeakIV-v07.pdf92.2 KB
Abstract
We consider two stage least squares (2SLS) estimators of a simple simultaneous equations model when identification fails asymptotically. We investigate how the limiting distribution of the estimator changes as we vary our parametrization to allow for increasing degrees of non-identification.
