The asymptotic and finite sample distributions of OLS and simple IV in simultaneous equations
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Publication:1019965
DOI10.1016/j.csda.2006.09.024zbMath1161.62333OpenAlexW2116278628MaRDI QIDQ1019965
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
weak instrumentssimultaneity biasinvalid instruments4D diagramsefficiency of an inconsistent estimator
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)
Related Items (9)
SUBSET HYPOTHESES TESTING AND INSTRUMENT EXCLUSION IN THE LINEAR IV REGRESSION ⋮ On the precision of Calvo parameter estimates in structural NKPC models ⋮ Comparing the asymptotic and empirical (un)conditional distributions of OLS and IV in a linear static simultaneous equation ⋮ 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 ⋮ Finite sample multivariate tests of asset pricing models with coskewness ⋮ Identification-robust simulation-based inference in joint discrete/continuous models for energy markets ⋮ The unconditional distributions of the OLS, TSLS and LIML estimators in a simple structural equations model ⋮ Near exogeneity, weak identification and specification testing: Some asymptotic results
Cites Work
- 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
- On the behavior of inconsistent instrumental variable estimators
- The large sample behaviour of the generalized method of moments estimator in misspecified models
- YET MORE ON THE EXACT PROPERTIES OF IV ESTIMATORS
- Instrumental Variables Regression with Weak Instruments
- Confidence intervals for autoregressive coefficients near one
- Unnamed Item
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