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Some Exact Distribution Results for the Partially Restricted Reduced form Estimator

Published online by Cambridge University Press:  11 February 2009

Terrence W. Kinal  and
John L. Knight
Terrence W. Kinal
Affiliation:
State University of New York at Albany
John L. Knight
Affiliation:
University of Western Ontario
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Abstract

This paper considers some finite sample properties of the partially restricted reduced form estimators in a general (n + 1) endogenous variable model. In particular, the characteristic functions, density functions, and moments are examined for both the vector of estimators and a linear combination. The approach utilizes both invariant polynomials of matrix argument (see Chikuse and Davis [4] and Davis [6]) and fractional calculus techniques (see Phillips [20,25,26]).

Type
Articles
Information
Econometric Theory , Volume 10 , Issue 1 , March 1994 , pp. 140 - 171
Copyright
Copyright © Cambridge University Press 1994

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