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On the Bimodality of the Exact Distribution of the TSLS Estimator

  • Giovanni Forchini

    ()

Nelson and Startz (Econometrica, 58, 1990), Maddala and Jong (Econometrica, 60, 1992) and Wolgrom (Econometrica, 69, 2001) have shown that the density of the two-stage least squares estimator may be bimodal in a just identified structural equation. This paper further investigates the conditions under which bimodality may arise in a just over-identified model.

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File URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2005/wp14-05.pdf
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Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 14/05.

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Length: 19 pages
Date of creation: May 2005
Date of revision:
Handle: RePEc:msh:ebswps:2005-14
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  1. Nelson, C. & Startz, R., 1988. "Some Furthere Results On The Exact Small Sample Properties Of The Instrumental Variable Estimator," Working Papers 88-06, University of Washington, Department of Economics.
  2. Woglom, Geoffrey, 2001. "More Results on the Exact Small Sample Properties of the Instrumental Variable Estimator," Econometrica, Econometric Society, vol. 69(5), pages 1381-89, September.
  3. Hillier, Grant, 2006. "Yet More On The Exact Properties Of Iv Estimators," Econometric Theory, Cambridge University Press, vol. 22(05), pages 913-931, October.
  4. 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.
  5. Forchini, Giovanni & Hillier, Grant, 2003. "Conditional Inference For Possibly Unidentified Structural Equations," Econometric Theory, Cambridge University Press, vol. 19(05), pages 707-743, October.
  6. Phillips, P C B, 1980. "The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables," Econometrica, Econometric Society, vol. 48(4), pages 861-78, May.
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