The asymptotic and finite sample distributions of OLS and simple IV in simultaneous equations

DOI10.1016/J.CSDA.2006.09.024zbMATH Open1161.62333OpenAlexW2116278628MaRDI QIDQ1019965FDOQ1019965

Authors: Jan F. Kiviet, Jerzy Niemczyk 

Publication date: 29 May 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://papers.tinbergen.nl/06078.pdf

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zbMATH Keywords

invalid instrumentsweak instrumentssimultaneity bias4D diagramsefficiency of an inconsistent estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Instrumental Variables Regression with Weak Instruments
• On the behavior of inconsistent instrumental variable estimators
• The large sample behaviour of the generalized method of moments estimator in misspecified models
• Confidence intervals for autoregressive coefficients near one
• The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
• Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks
• Title not available (Why is that?)
• YET MORE ON THE EXACT PROPERTIES OF IV ESTIMATORS

Cited In (12)

• Finite sample multivariate tests of asset pricing models with coskewness
• Near exogeneity, weak identification and specification testing: Some asymptotic results
• Estimation uncertainty in structural inflation models with real wage rigidities
• Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
• Identification and inference in a simultaneous equation under alternative information sets and sampling schemes
• The unconditional distributions of the OLS, TSLS and LIML estimators in a simple structural equations model
• On the precision of Calvo parameter estimates in structural NKPC models
• Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks
• Identification-robust simulation-based inference in joint discrete/continuous models for energy markets
• Comparing the asymptotic and empirical (un)conditional distributions of OLS and IV in a linear static simultaneous equation
• Subset hypotheses testing and instrument exclusion in the linear IV regression
• A note on finite sample analysis of misspecification in simultaneous equation models

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