On the Moments of Ordinary Least Squares and Instrumental Variables Estimators in a General Structural Equation

DOI10.2307/1911467zbMath0568.62096OpenAlexW2034553306MaRDI QIDQ3685060

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Publication date: 1984

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1911467

zbMATH Keywords

instrumental variables estimatorordinary least squaresbounds on the momentsExact expressionsgeneral structural equation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (12)

Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction ⋮ 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 ⋮ PROPERTIES OF THE INVERSE OF A NONCENTRAL WISHART MATRIX ⋮ On a simultaneous equations pre-test estimator ⋮ The expected values of invariant polynomials with matrix argument of elliptical distributions ⋮ Some small-sample properties of instrumental-variables estimators of block triangular models ⋮ A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models ⋮ The exact distribution of exogenous variable coefficient estimators ⋮ Location Properties of Point Estimators in Linear Instrumental Variables and Related Models ⋮ Exact densities for variance estimators of the structural disturbances in simultaneous equations models ⋮ Some properties of invariant polynomials with matrix arguments and their applications in econometrics

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