On the Exact Small Sample Distribution of the Instrumental Variable Estimator

DOI10.2307/2951683MaRDI QIDQ4006262zbMATH OpenOpenAlexFDO

Authors G. S. Maddala, Jinook Jeong

Publication date 26 September 1992

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2951683

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Applications of statistics to economics (62P20)

Cited in

(13)

• Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
• The exact distribution of the TSLS estimator for a non-Gaussian just-identified linear structural equation
• Bimodal t-ratios: the impact of thick tails on inference
• EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY
• YET MORE ON THE EXACT PROPERTIES OF IV ESTIMATORS
• ON THE BIMODALITY OF THE EXACT DISTRIBUTION OF THE TSLS ESTIMATOR
• A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION
• A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS
• MULTIMODALITY p**-FORMULA AND CONFIDENCE REGIONS
• Testing conditional symmetry without smoothing
• The unconditional distributions of the OLS, TSLS and LIML estimators in a simple structural equations model
• Randomization-based confidence sets for the local average treatment effect
• Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis

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