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Exact Small Sample Properties of the Instrumental Variable Estimator. A View From a Different Angle

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  • Mehlum, Halvor

    ()
    (Dept. of Economics, University of Oslo)

Abstract

I derive the exact small sample properties of the instrumental variables estimator using a trigonometric approach. The distribution for the estimation error is decomposed into a product of three components - each with an intuitive interpretation. This approach helps the discussion on what underlies the exact shape of the estimator’s distribution and in particular the possibility of a bimodal distribution.

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File URL: http://www.sv.uio.no/econ/english/research/unpublished-works/working-papers/pdf-files/2004/Memo-03-2004.pdf
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Bibliographic Info

Paper provided by Oslo University, Department of Economics in its series Memorandum with number 03/2004.

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Length: 14 pages
Date of creation: 04 Feb 2004
Date of revision:
Handle: RePEc:hhs:osloec:2004_003

Contact details of provider:
Postal: Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway
Phone: 22 85 51 27
Fax: 22 85 50 35
Email:
Web page: http://www.oekonomi.uio.no/indexe.html
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Keywords: Instrument; variable; estimator;

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  1. Nelson, C. & Startz, R., 1988. "Some Furthere Results On The Exact Small Sample Properties Of The Instrumental Variable Estimator," Discussion Papers in Economics at the University of Washington 88-06, Department of Economics at the University of Washington.
  2. Peter C.B. Phillips, 1982. "Exact Small Sample Theory in the Simultaneous Equations Model," Cowles Foundation Discussion Papers 621, Cowles Foundation for Research in Economics, Yale University.
  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.
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