The exact distribution of the TSLS estimator for a non-Gaussian just-identified linear structural equation

DOI10.1016/j.econlet.2006.09.022zbMath1255.62030OpenAlexW2005613753MaRDI QIDQ1934026

Giovanni Forchini

Publication date: 28 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://epubs.surrey.ac.uk/430836/1/GF-Exact-TSLS-rev.pdf

zbMATH Keywords

elliptical distributionsexact distributionjust-identified structural equationTSLS estimator

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20) Exact distribution theory in statistics (62E15)

Related Items (1)

The unconditional distributions of the OLS, TSLS and LIML estimators in a simple structural equations model

Cites Work

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• On the ratio \(X/Y\) for some elliptically symmetric distributions
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• YET MORE ON THE EXACT PROPERTIES OF IV ESTIMATORS
• ON THE BIMODALITY OF THE EXACT DISTRIBUTION OF THE TSLS ESTIMATOR
• On the Exact Small Sample Distribution of the Instrumental Variable Estimator
• The Iterated Minimum Distance Estimator and the Quasi-Maximum Likelihood Estimator
• On Bivariate Random Variables Where The Quotient of Their Coordinates Follows Some Known Distribution

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