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

DOI10.1016/J.ECONLET.2006.09.022MaRDI QIDQ1934026zbMATH OpenOpenAlexFDO

Authors 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

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

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Cites work

• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 3673420 (Why is no real title available?)
• On Bivariate Random Variables Where The Quotient of Their Coordinates Follows Some Known Distribution
• ON THE BIMODALITY OF THE EXACT DISTRIBUTION OF THE TSLS ESTIMATOR
• On the Exact Small Sample Distribution of the Instrumental Variable Estimator
• On the ratio \(X/Y\) for some elliptically symmetric distributions
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• The Iterated Minimum Distance Estimator and the Quasi-Maximum Likelihood Estimator
• YET MORE ON THE EXACT PROPERTIES OF IV ESTIMATORS

Cited in

(5)

• Inverting the indirect -- the ellipse and the boomerang: visualizing the confidence intervals of the structural coefficient from two-stage least squares
• ON THE BIMODALITY OF THE EXACT DISTRIBUTION OF THE TSLS ESTIMATOR
• scientific article; zbMATH DE number 4166376 (Why is no real title available?)
• The unconditional distributions of the OLS, TSLS and LIML estimators in a simple structural equations model
• The moments of OLS and 2SLS when the disturbances are non-normal

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