Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small

DOI10.1016/J.JECONOM.2006.06.011MaRDI QIDQ280242zbMATH OpenOpenAlexFDO

Authors D. S. Poskitt, C. L. Skeels

Publication date 9 May 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2006.06.011

zbMATH Keywords

two-stage least squaresweak instruments\(t\) approximationconcentration parameterIV estimatorsimultaneous equations model

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Recommendations

• Many instruments asymptotic approximations under nonnormal error distributions
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Discontinuities of weak instrument limiting distributions.
• Asymptotic distributions of instrumental variables statistics with many instruments
• A comparison of bias approximations for the two-stage least squares (2SLS) estimator

Cites work

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• A General Approximation to the Distribution of Instrumental Variables Estimates
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case
• Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
• Asymptotic distributions of instrumental variables statistics with many instruments
• Bayesian and classical approaches to instrumental variable regression
• Consistent Estimation with a Large Number of Weak Instruments
• Distributions of Estimates of Coefficients of a Single Equation in a Simultaneous System and Their Asymptotic Expansions
• Evaluation of the Distribution Function of the Two-Stage Least Squares Estimate
• Finite Sample Properties of Instrumental Variable Estimators of Structural Coefficients
• Identification and Lack of Identification
• Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments
• Instrumental Variables Regression with Weak Instruments
• Matricvariate Generalizations of the Multivariate t Distribution and the Inverted Multivariate t Distribution
• On the Moments of Ordinary Least Squares and Instrumental Variables Estimators in a General Structural Equation
• On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks
• Simultaneous Equations and Canonical Correlation Theory
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• The Bias of Instrumental Variable Estimators
• The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
• The Existence of Moments of k-Class Estimators

Cited in

(9)

• Many instruments asymptotic approximations under nonnormal error distributions
• scientific article; zbMATH DE number 1301947 (Why is no real title available?)
• Discontinuities of weak instrument limiting distributions.
• Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Conceptual frameworks and experimental design in simultaneous equations
• Inverting the indirect -- the ellipse and the boomerang: visualizing the confidence intervals of the structural coefficient from two-stage least squares
• Assessing the magnitude of the concentration parameter in a simultaneous equations model
• ON THE BIMODALITY OF THE EXACT DISTRIBUTION OF THE TSLS ESTIMATOR

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