On the Bimodality of the Exact Distribution of the TSLS Estimator

Nelson and Startz (Econometrica, 58, 1990), Maddala and Jong (Econometrica, 60, 1992) and Wolgrom (Econometrica, 69, 2001) have shown that the density of the two-stage least squares estimator may be bimodal in a just identified structural equation. This paper further investigates the conditions under which bimodality may arise in a just over-identified model.

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Year of publication:	2005-05
Authors:	Forchini, Giovanni
Institutions:	Department of Econometrics and Business Statistics, Monash Business School
Subject:	Bimodality \| Identification \| Structural equation \| Two Stage Least Squares

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Extent:	application/pdf
Series:	Monash Econometrics and Business Statistics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 14/05 19 pages
Classification:	C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005427636