The exact distribution of exogenous variable coefficient estimators

DOI10.1016/0304-4076(84)90028-9zbMath0555.62018OpenAlexW1969495811MaRDI QIDQ760725

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

Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20) Exact distribution theory in statistics (62E15)

Related Items (9)

The expected values of invariant polynomials with matrix argument of elliptical distributions ⋮ Some small-sample properties of instrumental-variables estimators of block triangular models ⋮ COMPUTATIONALLY EFFICIENT RECURSIONS FOR TOP-ORDER INVARIANT POLYNOMIALS WITH APPLICATIONS ⋮ Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations ⋮ THE ASYMPTOTIC DISTRIBUTION OF THE LIML ESTIMATOR IN A PARTIALLY IDENTIFIED STRUCTURAL EQUATION ⋮ The non-monotonicity of the bias and mean squared error of the two stage least squares estimators of exogenous variable coefficients ⋮ Finite-sample properties of limited-iinformation estimators in misspecified simultaneous equation models ⋮ Estimation of Sparse Structural Parameters with Many Endogenous Variables ⋮ Some properties of invariant polynomials with matrix arguments and their applications in econometrics

Cites Work

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• Invariant polynomials with two matrix arguments extending the zonal polynomials: Applications to multivariate distribution theory
• On the Moments of Ordinary Least Squares and Instrumental Variables Estimators in a General Structural Equation
• The Exact Distribution of LIML: I
• Exact Density Functions and Approximate Critical Regions for Likelihood Ratio Identifiability Test Statistics
• The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
• The Iterated Minimum Distance Estimator and the Quasi-Maximum Likelihood Estimator
• Normal Multivariate Analysis and the Orthogonal Group

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