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Marginal Densities of Instrumental Variable Estimators in the General Single Equation Case

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Author Info
Peter C.B. Phillips () (Cowles Foundation, Yale University)

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Abstract

A method of extracting marginal density approximations using the multivariate version of the Laplace formula is given and applied to instrumental variable estimators. Some leading exact distributions are derived for the general single equation case which lead to computable formulae and generalize all known results for marginal densities. These results are related to earlier work by Basmann (1963), Kabe (1964) and Phillips (1980b). Some general issues bearing on the current development of small sample theory and its application in empirical work are discussed in the introduction to the paper.

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Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 609.

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Length: 34 pages
Date of creation: Oct 1981
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Publication status: Published in Advances in Econometrics, Vol. 2, JAI Press, 1983, pp. 1-24
Handle: RePEc:cwl:cwldpp:609

Note: CFP 582.
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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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.:
  1. Phillips, P C B, 1980. "Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume," Review of Economic Studies, Blackwell Publishing, vol. 47(1), pages 183-224, January. [Downloadable!] (restricted)
  2. Sargan, J D, 1976. "Econometric Estimators and the Edgeworth Approximation," Econometrica, Econometric Society, vol. 44(3), pages 421-48, May. [Downloadable!] (restricted)
  3. Phillips, Peter C B, 1977. "A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators," Econometrica, Econometric Society, vol. 45(6), pages 1517-34, September. [Downloadable!] (restricted)
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(explanations, 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.)

  1. Peter C.B. Phillips, 1991. "Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum," Cowles Foundation Discussion Papers 986, Cowles Foundation, Yale University. [Downloadable!]
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  2. Peter C.B. Phillips, 1990. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Cowles Foundation Discussion Papers 950, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  3. John C. Chao & Peter C.B. Phillips, 1996. "Bayesian Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior," Cowles Foundation Discussion Papers 1137, Cowles Foundation, Yale University. [Downloadable!]
  4. Eric Zivot & Peter C.B. Phillips, 1991. "A Bayesian Analysis of Trend Determination in Economic Time Series," Cowles Foundation Discussion Papers 1002, Cowles Foundation, Yale University. [Downloadable!]
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  5. Peter C.B. Phillips & Werner Ploberger, 1992. "Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics," Cowles Foundation Discussion Papers 1038, Cowles Foundation, Yale University. [Downloadable!]
  6. John C. Chao & Peter C.B. Phillips, 1998. "Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables," Cowles Foundation Discussion Papers 1198, Cowles Foundation, Yale University. [Downloadable!]
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  7. Peter C.B. Phillips & R.C. Reiss, 1984. "Testing for Serial Correlation and Unit Roots Using a Computer Function Routine Bases on ERA's," Cowles Foundation Discussion Papers 721, Cowles Foundation, Yale University. [Downloadable!]
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