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Some Exact Results for Estimators of the Coefficients on the Exogenous Variables in a Single Equation

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Author Info
Skeels, Christopher L.

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Abstract

This paper is devoted to a detailed examination of the exact sampling properties of the instrumental variables (IV) estimator of the vector of coefficients on the exogenous variables in a single structural equation. The first two moments of a linear combination of the elements of this estimator and the joint distribution of these elements are considered. Estimable bounds for the first moment that can readily be incorporated into any IV estimation package are provided. The results obtained are in terms of the same special functions as those that characterize other results for this model, allowing a unified treatment of the model.

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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 11 (1995)
Issue (Month): 03 (June)
Pages: 484-497
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Handle: RePEc:cup:etheor:v:11:y:1995:i:03:p:484-497_00

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  1. Giovanni Forchini, 2006. "The Asymptotic distribution of the LIML Estimator in a Partially Identified Structural Equation," Monash Econometrics and Business Statistics Working Papers 1/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
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