Advanced Search
MyIDEAS: Login

On The Bimodality Of The Exact Distribution Of The Tsls Estimator

Contents:

Author Info

  • Forchini, G.

Abstract

We investigate the possible bimodality of the density of the two-stage least squares (TSLS) estimator in a just-identified overidentified linear structural equation. By studying the interaction between weakness of instruments, degree of endogeneity, and degree of overidentification we are able to identify conditions for its existence.I thank Grant Hillier, Patrick Marsh, Don Poskitt, the editor Peter Phillips, and two anonymous referees for useful and encouraging comments.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://journals.cambridge.org/abstract_S0266466606060427
File Function: link to article abstract page
Download Restriction: no

Bibliographic Info

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

Volume (Year): 22 (2006)
Issue (Month): 05 (October)
Pages: 932-946

as in new window
Handle: RePEc:cup:etheor:v:22:y:2006:i:05:p:932-946_06

Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Web page: http://journals.cambridge.org/jid_ECTProvider-Email:journals@cambridge.org

Related research

Keywords:

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Charles R. Nelson & Richard Startz, 1988. "Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator," NBER Technical Working Papers 0068, National Bureau of Economic Research, Inc.
  2. Forchini, Giovanni & Hillier, Grant, 2003. "Conditional Inference For Possibly Unidentified Structural Equations," Econometric Theory, Cambridge University Press, vol. 19(05), pages 707-743, October.
  3. Maddala, G S & Jeong, Jinook, 1992. "On the Exact Small Sample Distribution of the Instrumental Variable Estimator," Econometrica, Econometric Society, vol. 60(1), pages 181-83, January.
  4. Woglom, Geoffrey, 2001. "More Results on the Exact Small Sample Properties of the Instrumental Variable Estimator," Econometrica, Econometric Society, vol. 69(5), pages 1381-89, September.
  5. Hillier, Grant, 2006. "Yet More On The Exact Properties Of Iv Estimators," Econometric Theory, Cambridge University Press, vol. 22(05), pages 913-931, October.
  6. Phillips, P C B, 1980. "The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables," Econometrica, Econometric Society, vol. 48(4), pages 861-78, May.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Phillips, Peter C.B., 2006. "A Remark On Bimodality And Weak Instrumentation In Structural Equation Estimation," Econometric Theory, Cambridge University Press, vol. 22(05), pages 947-960, October.
  2. Poskitt, D.S. & Skeels, C.L., 2007. "Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small," Journal of Econometrics, Elsevier, vol. 139(1), pages 217-236, July.
  3. Simon A. Broda & Raymond Kan, 2013. "On Distributions of Ratios," UvA-Econometrics Working Papers 13-10, Universiteit van Amsterdam, Dept. of Econometrics.
  4. Jan F. Kiviet, 2013. "Identification and inference in a simultaneous equation under alternative information sets and sampling schemes," Econometrics Journal, Royal Economic Society, vol. 16(1), pages S24-S59, 02.
  5. M.C. Medeiros & E. Mendes & Les Oxley, 2010. "A Note on Nonlinear Cointegration, Misspecification and Bimodality," Working Papers in Economics 10/01, University of Canterbury, Department of Economics and Finance.
  6. Jan F. Kiviet, 2012. "Identification and Inference in a Simultaneous Equation under Alternative Information Sets and Sampling Schemes," Tinbergen Institute Discussion Papers 12-128/III, Tinbergen Institute.
  7. Simon A. Broda & Raymond Kan, 2014. "On Distributions of Ratios," Tinbergen Institute Discussion Papers 13-211/III, Tinbergen Institute.
  8. Jan F. KIVIET & Jerzy NIEMCZYK, 2013. "On the limiting and empirical distributions of IV estimators when some of the instruments are actually endogenous," Economic Growth centre Working Paper Series 1311, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre.
  9. Forchini, Giovanni, 2007. "The exact distribution of the TSLS estimator for a non-Gaussian just-identified linear structural equation," Economics Letters, Elsevier, vol. 95(1), pages 117-123, April.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:22:y:2006:i:05:p:932-946_06. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.