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YET MORE ON THE EXACT PROPERTIES OF IV ESTIMATORS

Published online by Cambridge University Press:  30 August 2006

Grant Hillier
Grant Hillier
Affiliation:
University of Southampton
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Abstract

We revisit the exact properties of two-stage least squares and limited information maximum likelihood estimators in a structural equation/instrumental variables regression under Gaussian assumptions. Simple derivations based on conditioning serve both to demystify the apparently complicated formulas, and to isolate the key quantities that determine the properties of the estimators. Some recent results obtained under weak-instrument asymptotics are sharpened and clarified by the exact analysis.Thanks to Peter Phillips and several anonymous referees for helpful comments that improved the paper considerably.

Type
MISCELLANEA: BIMODALITY AND WEAK INSTRUMENTATION
Information
Econometric Theory , Volume 22 , Issue 5 , October 2006 , pp. 913 - 931
Copyright
© 2006 Cambridge University Press

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