Marginal Densities of Instrumental Variable Estimators in the General Single Equation Case
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.
|Date of creation:||Oct 1981|
|Date of revision:|
|Publication status:||Published in Advances in Econometrics, Vol. 2, JAI Press, 1983, pp. 1-24|
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- 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.
- Sargan, J D, 1976. "Econometric Estimators and the Edgeworth Approximation," Econometrica, Econometric Society, vol. 44(3), pages 421-48, May.
- P. C. B. Phillips, 1980. "Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume," Review of Economic Studies, Oxford University Press, vol. 47(1), pages 183-224.
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