The exact distribution of exogenous variable coefficient estimators

DOI10.1016/0304-4076(84)90028-9MaRDI QIDQ760725zbMATH OpenOpenAlexFDO

Authors Peter C. B. Phillips

Publication date 1984

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

Full work available at URL https://cowles.yale.edu/sites/default/files/files/pub/d06/d0681.pdf

zbMATH Keywords

instrumental variable estimatorstructural equationinvariant polynomials with multiple matrix argumentsnon-random exogenous variablesnormally distributed errors

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 3718376 (Why is no real title available?)
• Exact Density Functions and Approximate Critical Regions for Likelihood Ratio Identifiability Test Statistics
• Invariant polynomials with two matrix arguments extending the zonal polynomials: Applications to multivariate distribution theory
• Normal Multivariate Analysis and the Orthogonal Group
• On the Moments of Ordinary Least Squares and Instrumental Variables Estimators in a General Structural Equation
• The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
• The Exact Distribution of LIML: I
• The Iterated Minimum Distance Estimator and the Quasi-Maximum Likelihood Estimator

Cited in

(14)

• The expected values of invariant polynomials with matrix argument of elliptical distributions
• Some properties of invariant polynomials with matrix arguments and their applications in econometrics
• The asymptotic distribution of the LIML estimator in a partially identified structural equation
• EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY
• Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
• COMPUTATIONALLY EFFICIENT RECURSIONS FOR TOP-ORDER INVARIANT POLYNOMIALS WITH APPLICATIONS
• scientific article; zbMATH DE number 500448 (Why is no real title available?)
• Some small-sample properties of instrumental-variables estimators of block triangular models
• Finite-sample properties of limited-iinformation estimators in misspecified simultaneous equation models
• Exact densities for variance estimators of the structural disturbances in simultaneous equations models
• The Exact Distribution of LIML: II
• The non-monotonicity of the bias and mean squared error of the two stage least squares estimators of exogenous variable coefficients
• A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models
• Estimation of Sparse Structural Parameters with Many Endogenous Variables

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