Exact small sample properties of the instrumental variable estimator: A view from a different angle

I derive the exact small sample properties of the instrumental variables estimator using a trigonometric approach. The distribution for the estimation error is decomposed into a product of three components - each with an intuitive interpretation. This approach helps the discussion on what underlies the exact shape of the estimator’s distribution and in particular the possibility of a bimodal distribution.

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Year of publication:	2004
Authors:	Mehlum, Halvor
Publisher:	Oslo : University of Oslo, Department of Economics
Subject:	Schätztheorie \| Theorie \| Instrument \| variable \| estimator

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Series:	Memorandum ; 2004,03
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	37823708X [GVK] hdl:10419/63215 [Handle]
Classification:	C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General
Source:	EconStor

Persistent link: https://www.econbiz.de/10010284497