Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Nov, 1983, Volume 51, Issue 6

Identification and Lack of Identification

https://www.jstor.org/stable/1912109
p. 1605-1634

J. D. Sargan

The paper discusses cases where an econometric model linear in the variables is identified, but where the estimators are not asymptotically normally distributed. Maximum likelihood estimators and instrumental variable estimators are considered in some detail and the results are illustrated by means of a Monte Carlo simulation of a particularly simple case.


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