EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY

DOI10.1017/S0266466608090361zbMath1278.62026OpenAlexW3125766982MaRDI QIDQ3181957

Peter C. B. Phillips

Publication date: 30 September 2009

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

Full work available at URL: https://doi.org/10.1017/s0266466608090361

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10) Exact distribution theory in statistics (62E15) Statistical methods; economic indices and measures (91B82)

Related Items (2)

HAAVELMO’S CONTRIBUTIONS TO SIMULTANEOUS-EQUATIONS ESTIMATION ⋮ Reduced forms and weak instrumentation

Cites Work

• A Note on the Exact Finite Sample Frequency Functions of Generalized Classical Linear Estimators in Two Leading Over-Identified Cases
• 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 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
• A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System
• Exact saddlepoint approximations
• 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
• Unnamed Item

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