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