caa a22 4500 386371520 CHVBK 20180307112000.0 cr unu---uuuuu 161130e198908 xx s 000 0 eng 10.1017/S0266466600012408 doi S0266466600012408 pii (NATIONALLICENCE)cambridge-10.1017/S0266466600012408 Phillips P.C.B. Cowles Foundation for Research in Economics Yale University Partially Identified Econometric Models [Elektronische Daten] [P.C.B. Phillips] This paper studies a class of models where full identification is not necessarily assumed. We term such models partially identified. It is argued that partially identified systems are of practical importance since empirical investigators frequently proceed under conditions that are best described as apparent identification. One objective of the paper is to explore the properties of conventional statistical procedures in the context of identification failure. Our analysis concentrates on two major types of partially identified model: the classic simultaneous equations model under rank condition failures; and time series spurious regressions. Both types serve to illustrate the extensions that are needed to conventional asymptotic theory if the theory is to accommodate partially identified systems. In many of the cases studied, the limit distributions fall within the class of compound normal distributions. They are simply represented as covariance matrix or scalar mixtures of normals. This includes time series spurious regressions, where representations in terms of functionals of vector Brownian motion are more conventional in recent research following earlier work by the author. Copyright © Cambridge University Press 1989 Econometric Theory Cambridge University Press 5/2(1989-08), 181-240 0266-4666 5:2<181 1989 5 ECT https://doi.org/10.1017/S0266466600012408 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1017/S0266466600012408 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Phillips P.C.B. Cowles Foundation for Research in Economics Yale University NATIONALLICENCE 773 0- Econometric Theory Cambridge University Press 5/2(1989-08), 181-240 0266-4666 5:2<181 1989 5 ECT CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge