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Yet More On The Exact Properties Of Iv Estimators

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Author Info
Hillier, Grant

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Abstract

We revisit the exact properties of two-stage least squares and limited information maximum likelihood estimators in a structural equation instrumental variables regression under Gaussian assumptions. Simple derivations based on conditioning serve both to demystify the apparently complicated formulas, and to isolate the key quantities that determine the properties of the estimators. Some recent results obtained under weak-instrument asymptotics are sharpened and clarified by the exact analysis.Thanks to Peter Phillips and several anonymous referees for helpful comments that improved the paper considerably.

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

Volume (Year): 22 (2006)
Issue (Month): 05 (October)
Pages: 913-931
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Handle: RePEc:cup:etheor:v:22:y:2006:i:05:p:913-931_06

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  1. Giovanni Forchini, 2005. "On the Bimodality of the Exact Distribution of the TSLS Estimator," Monash Econometrics and Business Statistics Working Papers 14/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    Other versions:
  2. Giovanni Forchini, 2006. "Tests for Over-identifying Restrictions in Partially Identified Linear Structural Equations," Monash Econometrics and Business Statistics Working Papers 20/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  3. Jan F. Kiviet & Jerzy Niemczyk, 2006. "The Asymptotic and Finite Sample Distributions of OLS and Simple IV in Simultaneous Equations," Tinbergen Institute Discussion Papers 06-078/4, Tinbergen Institute. [Downloadable!]
    Other versions:
  4. Peter C. B. Phillips, 2005. "A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation," Cowles Foundation Discussion Papers 1540, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
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