Dufour, Jean-Marie; Taamouti, Mohamed - Centre Interuniversitaire de Recherche en Analyse des … - 2003
It is well known that standard asymptotic theory is not valid or is extremely unreliable in models with identification problems or weak instruments [Dufour (1997, Econometrica), Staiger and Stock (1997, Econometrica), Wang and Zivot (1998, Econometrica), Stock and Wright (2000, Econometrica),...
