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Some Exact Results for Estimators of the Coefficients on the Exogenous Variables in a Single Equation

Published online by Cambridge University Press:  11 February 2009

Christopher L. Skeels
Christopher L. Skeels
Affiliation:
Australian National University and University of British Columbia
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Abstract

This paper is devoted to a detailed examination of the exact sampling properties of the instrumental variables (IV) estimator of the vector of coefficients on the exogenous variables in a single structural equation. The first two moments of a linear combination of the elements of this estimator and the joint distribution of these elements are considered. Estimable bounds for the first moment that can readily be incorporated into any IV estimation package are provided. The results obtained are in terms of the same special functions as those that characterize other results for this model, allowing a unified treatment of the model.

Type
Articles
Information
Econometric Theory , Volume 11 , Issue 3 , June 1995 , pp. 484 - 497
Copyright
Copyright © Cambridge University Press 1995

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References

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