On the Exact Small Sample Distribution of the Instrumental Variable Estimator

DOI10.2307/2951683zbMath0850.62889OpenAlexW2072377647MaRDI QIDQ4006262

Jinook Jeong, G. S. Maddala

Publication date: 26 September 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2951683

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Exact distribution theory in statistics (62E15)

Related Items (12)

Testing conditional symmetry without smoothing ⋮ EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY ⋮ Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures ⋮ 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 ⋮ Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis ⋮ A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES 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 ⋮ The unconditional distributions of the OLS, TSLS and LIML estimators in a simple structural equations model

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