YET MORE ON THE EXACT PROPERTIES OF IV ESTIMATORS

DOI10.1017/S0266466606060415zbMath1100.62065OpenAlexW2126147724MaRDI QIDQ3408525

Grant Hillier

Publication date: 14 November 2006

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

Full work available at URL: https://doi.org/10.1017/s0266466606060415

zbMATH Keywords

conditional densitymarginal densitydirection estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (11)

EXACT PROPERTIES OF THE CONDITIONAL LIKELIHOOD RATIO TEST IN AN IV REGRESSION MODEL ⋮ EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY ⋮ Comparing the asymptotic and empirical (un)conditional distributions of OLS and IV in a linear static simultaneous equation ⋮ The exact distribution of the TSLS estimator for a non-Gaussian just-identified linear structural equation ⋮ MULTIMODALITY p**-FORMULA AND CONFIDENCE REGIONS ⋮ Bimodal t-ratios: the impact of thick tails on inference ⋮ GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA ⋮ The asymptotic and finite sample distributions of OLS and simple IV in simultaneous equations ⋮ ON THE BIMODALITY OF THE EXACT DISTRIBUTION OF THE TSLS ESTIMATOR ⋮ A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION ⋮ The unconditional distributions of the OLS, TSLS and LIML estimators in a simple structural equations model

Cites Work

• Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior
• Jeffreys prior analysis of the simultaneous equations model in the case with \(n+1\) endogenous variables.
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• On the Normalization of Structural Equations: Properties of Direction Estimators
• ON THE BIMODALITY OF THE EXACT DISTRIBUTION OF THE TSLS ESTIMATOR
• A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION
• Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
• The Exact Distribution of LIML: I
• The Exact Distribution of LIML: II
• 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
• Econometric Estimators and the Edgeworth Approximation
• Instrumental Variables Regression with Weak Instruments
• The Density of the Maximum Likelihood Estimator
• Ratios of Normal Variables and Ratios of Sums of Uniform Variables
• Consistent Estimation with a Large Number of Weak Instruments
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations

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