The exact distribution of exogenous variable coefficient estimators
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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