Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator

DOI10.2307/2938359zbMath0727.62109OpenAlexW1967777997MaRDI QIDQ3349840

Charles R. Nelson, Richard Startz

Publication date: 1990

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/t0068.pdf

zbMATH Keywords

asymptotic distributionasymptotic approximationasymptotic varianceordinary least squares estimatorinstrumental variable estimatorcentral tendencyexact small sample distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Point estimation (62F10) Exact distribution theory in statistics (62E15)

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