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:	2004-02-04
Authors:	Mehlum, Halvor
Institutions:	Økonomisk institutt, Universitetet i Oslo
Subject:	Instrument \| variable \| estimator

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Extent:	application/pdf
Series:	Memorandum.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Memorandum Number 03/2004 14 pages
Classification:	C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005652340