Exact Small Sample Properties of the Instrumental Variable Estimator. A View From a Different Angle
AbstractI 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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Bibliographic InfoPaper provided by Oslo University, Department of Economics in its series Memorandum with number 03/2004.
Length: 14 pages
Date of creation: 04 Feb 2004
Date of revision:
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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
Web page: http://www.oekonomi.uio.no/indexe.html
More information through EDIRC
Instrument; variable; estimator;
Find related papers by JEL classification:
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
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- 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.
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- 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.
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- 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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