A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION

DOI10.1017/S0266466606060439zbMath1125.62129OpenAlexW3123411065MaRDI QIDQ3408527

Peter C. B. Phillips

Publication date: 14 November 2006

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466606060439

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Related Items

Structural inference from reduced forms with many instruments, MULTIMODALITY p**-FORMULA AND CONFIDENCE REGIONS, Bimodal t-ratios: the impact of thick tails on inference, Assessing the magnitude of the concentration parameter in a simultaneous equations model, YET MORE ON THE EXACT PROPERTIES OF IV ESTIMATORS, ON THE BIMODALITY OF THE EXACT DISTRIBUTION OF THE TSLS ESTIMATOR, The unconditional distributions of the OLS, TSLS and LIML estimators in a simple structural equations model

Cites Work

• 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
• The Distribution of FIML in the Leading Case
• The Exact Distribution of LIML: I
• The Exact Distribution of LIML: II
• The Exact Sampling Distributions of Least Squares and Maximum Likelihood Estimators of the Marginal Propensity to Consume
• The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
• On the Exact Small Sample Distribution of the Instrumental Variable Estimator
• Instrumental Variables Regression with Weak Instruments
• GMM with Many Moment Conditions
• Consistent Estimation with a Large Number of Weak Instruments