The exact distribution of exogenous variable coefficient estimators
AbstractThis paper derives the exact probability density function of the instrumental variable (IV) estimator of the exogenous variable coefficient vector in a structural equation containing n+1 endogenous variables and N degrees of overidentification. A leading case of the general distribution that is more amenable to analysis and computation is also presented. Conventional classical assumptions or normally distributed errors and nonrandom exogenous variables are employed.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 26 (1984)
Issue (Month): 3 (December)
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Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- Peter C.B. Phillips, 1983. "The Exact Distribution of Exogenous Variable Coefficient Estimators," Cowles Foundation Discussion Papers 681, Cowles Foundation for Research in Economics, Yale University.
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- Forchini, Giovanni, 2010.
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