The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
From MaRDI portal
Publication:3935349
DOI10.2307/1912937zbMath0477.62089OpenAlexW2022596990MaRDI QIDQ3935349
Publication date: 1980
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1912937
Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Exact distribution theory in statistics (62E15) Economic time series analysis (91B84)
Related Items
Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small ⋮ The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution ⋮ EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY ⋮ Using invalid instruments on purpose: focused moment selection and averaging for GMM ⋮ The expected values of invariant polynomials with matrix argument of elliptical distributions ⋮ Structural inference from reduced forms with many instruments ⋮ Some small-sample properties of instrumental-variables estimators of block triangular models ⋮ Some consequences of model misspecification for \(t\) testing in a structural equation ⋮ A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models ⋮ On the construction of a class of invariant polynomials in several matrices, extending the zonal polynomials ⋮ COMPUTATIONALLY EFFICIENT RECURSIONS FOR TOP-ORDER INVARIANT POLYNOMIALS WITH APPLICATIONS ⋮ Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations ⋮ An asymptotic variance inequality for instrumental variable estimators signaling proportional bias increases ⋮ The asymptotic distribution of the instrumental variable estimators when the instruments are not correlated with the regressors ⋮ Model selection in the presence of incidental parameters ⋮ On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments ⋮ The non-monotonicity of the bias and mean squared error of the two stage least squares estimators of exogenous variable coefficients ⋮ The exact distribution of exogenous variable coefficient estimators ⋮ YET MORE ON THE EXACT PROPERTIES OF IV ESTIMATORS ⋮ ON THE BIMODALITY OF THE EXACT DISTRIBUTION OF THE TSLS ESTIMATOR ⋮ A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION ⋮ Asymptotic probability concentrations and finite sample properties of modified LIML estimators for equations with more than two endogeneous variables ⋮ Reduced forms and weak instrumentation ⋮ Stein-like 2SLS estimator ⋮ RELATIVE ERROR ACCURATE STATISTIC BASED ON NONPARAMETRIC LIKELIHOOD ⋮ Jeffreys prior analysis of the simultaneous equations model in the case with \(n+1\) endogenous variables. ⋮ Some properties of invariant polynomials with matrix arguments and their applications in econometrics ⋮ PANEL STRUCTURAL MODELING WITH WEAK INSTRUMENTATION AND COVARIANCE RESTRICTIONS