On the limiting and empirical distributions of IV estimators when some of the instruments are actually endogenous
Download full text from publisher
Other versions of this item:
- Jan F. Kiviet & Jerzy Niemczyk, 2014. "On the Limiting and Empirical Distributions of IV Estimators When Some of the Instruments are Actually Endogenous," Advances in Econometrics, in: Yoosoon Chang & Thomas B. Fomby & Joon Y. Park (ed.),Essays in Honor of Peter C. B. Phillips, volume 33, pages 425-490, Emerald Publishing Ltd.
References listed on IDEAS
- Donald, Stephen G & Newey, Whitney K, 2001. "Choosing the Number of Instruments," Econometrica, Econometric Society, vol. 69(5), pages 1161-1191, September.
- Berkowitz, Daniel & Caner, Mehmet & Fang, Ying, 2008.
"Are "Nearly Exogenous Instruments" reliable?,"
Economics Letters, Elsevier, vol. 101(1), pages 20-23, October.
- Daniel Berkowitz & Mehmet Caner & Ying Fang, 2013. "Are "Nearly Exogenous" Instruments Reliable?," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Daniel Berkowitz & Mehmet Caner* & Ying Fang, 2013. "Are Nearly “Exogenous Instruments” Reliable?," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Kiviet, Jan F. & Niemczyk, Jerzy, 2012. "Comparing the asymptotic and empirical (un)conditional distributions of OLS and IV in a linear static simultaneous equation," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3567-3586.
- Maasoumi, Esfandiar & Phillips, Peter C. B., 1982.
"On the behavior of inconsistent instrumental variable estimators,"
Journal of Econometrics, Elsevier, vol. 19(2-3), pages 183-201, August.
- Esfandier Maasoumi & Peter C.B. Phillips, 1980. "On the Behavior of Inconsistent Instrumental Variable Estimators," Cowles Foundation Discussion Papers 568, Cowles Foundation for Research in Economics, Yale University.
- Guggenberger, Patrik, 2012. "On The Asymptotic Size Distortion Of Tests When Instruments Locally Violate The Exogeneity Assumption," Econometric Theory, Cambridge University Press, vol. 28(2), pages 387-421, April.
- Joseph, Agnes S. & Kiviet, Jan F., 2005.
"Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks,"
Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 417-444, April.
- Agnes S. Joseph & Jan F. Kiviet, 2004. "Viewing the Relative Efficiency of IV Estimators in Models with Lagged and Instantaneous Feedbacks," Tinbergen Institute Discussion Papers 04-056/4, Tinbergen Institute.
- Richard Ashley, 2009.
"Assessing the credibility of instrumental variables inference with imperfect instruments via sensitivity analysis,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(2), pages 325-337, March.
- Richard A. Ashley., 2006. "Assessing the Credibility of Instrumental Variables Inference With Imperfect Instruments Via Sensitivity Analysis," Working Papers e06-9, Virginia Polytechnic Institute and State University, Department of Economics.
- Phillips, Peter C.B., 2006.
"A Remark On Bimodality And Weak Instrumentation In Structural Equation Estimation,"
Econometric Theory, Cambridge University Press, vol. 22(5), pages 947-960, October.
- Peter C. B. Phillips, 2005. "A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation," Cowles Foundation Discussion Papers 1540, Cowles Foundation for Research in Economics, Yale University.
- 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 861-878, May.
- Hillier, Grant, 2006. "Yet More On The Exact Properties Of Iv Estimators," Econometric Theory, Cambridge University Press, vol. 22(5), pages 913-931, October.
- Small, Dylan S., 2007. "Sensitivity Analysis for Instrumental Variables Regression With Overidentifying Restrictions," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1049-1058, September.
- Forchini, G., 2006.
"On The Bimodality Of The Exact Distribution Of The Tsls Estimator,"
Econometric Theory, Cambridge University Press, vol. 22(5), pages 932-946, October.
- Giovanni Forchini, 2005. "On the Bimodality of the Exact Distribution of the TSLS Estimator," Monash Econometrics and Business Statistics Working Papers 14/05, Monash University, Department of Econometrics and Business Statistics.
- Rhodes, George Jr. & Westbrook, M. Daniel, 1981. "A study of estimator densities and performance under misspecification," Journal of Econometrics, Elsevier, vol. 16(3), pages 311-337, August.
- Mariano, Roberto S, 1973. "Approximations to the Distribution Functions of the Ordinary Least-Squares and Two-Stage Least-Squares Estimators in the Case of Two Included Endogenous Variables," Econometrica, Econometric Society, vol. 41(1), pages 67-77, January.
- Knight, John L., 1982. "A note on finite sample analysis of misspecification in simultaneous equation models," Economics Letters, Elsevier, vol. 9(3), pages 275-279.
- Maddala, G S & Jeong, Jinook, 1992. "On the Exact Small Sample Distribution of the Instrumental Variable Estimator," Econometrica, Econometric Society, vol. 60(1), pages 181-183, January.
- Skeels, Christopher L., 1995. "Instrumental Variables Estimation in Misspecified Single Equations," Econometric Theory, Cambridge University Press, vol. 11(3), pages 498-529, June.
- Berkowitz, Daniel & Caner, Mehmet & Fang, Ying, 2012. "The validity of instruments revisited," Journal of Econometrics, Elsevier, vol. 166(2), pages 255-266.
- Hendry, David F., 1982. "A reply to Professors Maasoumi and Phillips," Journal of Econometrics, Elsevier, vol. 19(2-3), pages 203-213, August.
- Hendry, David F., 1979. "The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors," Journal of Econometrics, Elsevier, vol. 9(3), pages 295-314, February.
- Michael P. Murray, 2006. "Avoiding Invalid Instruments and Coping with Weak Instruments," Journal of Economic Perspectives, American Economic Association, vol. 20(4), pages 111-132, Fall.
- Jinyong Hahn & Atsushi Inoue, 2002. "A Monte Carlo Comparison Of Various Asymptotic Approximations To The Distribution Of Instrumental Variables Estimators," Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 309-336.
More about this item
Keywordsempirical density; inconsistent estimators; invalid instruments; (un)conditional asymptotic distribution; weak instruments;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nan:wpaper:1311. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Magdalene Lim). General contact details of provider: http://edirc.repec.org/data/dentusg.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.