This 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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Length: 15 pages Date of creation: Jul 1983 Date of revision: Publication status: Published in Journal of Econometrics (1984), 26: 387-398 Handle: RePEc:cwl:cwldpp:681
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Phillips, P C B, 1986.
"The Distribution of FIML in the Leading Case,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 27(1), pages 239-43, February.
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