EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY

DOI10.1017/S0266466608090361MaRDI QIDQ3181957zbMATH OpenOpenAlexFDO

Authors Peter C. B. Phillips

Publication date 30 September 2009

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466608090361

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10) Estimation in multivariate analysis (62H12) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

• The unconditional distributions of the OLS, TSLS and LIML estimators in a simple structural equations model
• Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
• On the Moments of Ordinary Least Squares and Instrumental Variables Estimators in a General Structural Equation
• The exact distribution of exogenous variable coefficient estimators
• Exact densities for variance estimators of the structural disturbances in simultaneous equations models

Cites work

• A Note on the Exact Finite Sample Frequency Functions of Generalized Classical Linear Estimators in Two Leading Over-Identified Cases
• A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System
• Exact saddlepoint approximations
• scientific article; zbMATH DE number 3673420 (Why is no real title available?)
• Instrumental Variables Regression with Weak Instruments
• ON THE BIMODALITY OF THE EXACT DISTRIBUTION OF THE TSLS ESTIMATOR
• On the Exact Small Sample Distribution of the Instrumental Variable Estimator
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
• The Exact Distribution of LIML: I
• The Exact Distribution of LIML: II
• The Exact Sampling Distributions of Least Squares and Maximum Likelihood Estimators of the Marginal Propensity to Consume
• YET MORE ON THE EXACT PROPERTIES OF IV ESTIMATORS

Cited in

(5)

• Identification problem of the exponential tilting estimator under misspecification
• Consistent estimation of the structural distribution function
• Haavelmo's contributions to simultaneous-equations estimation
• The unconditional distributions of the OLS, TSLS and LIML estimators in a simple structural equations model
• Reduced forms and weak instrumentation

This page was built for publication: EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3181957)