The Exact Distribution of Exogenous Variable Coefficient Estimators

This paper derives the exact probability density function of the instrumental variable (IV) estimator of the exogenous variable coefficient vector in a structural equation containing n+1 endogenous variables and N degrees of overidentification. A leading case of the general distribution that is more amenable to analysis and computation is also presented. Conventional classical assumptions or normally distributed errors and nonrandom exogenous variables are employed.

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Year of publication:	1983-07
Authors:	Phillips, Peter C.B.
Institutions:	Cowles Foundation for Research in Economics, Yale University

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	CFP 602. Published in Journal of Econometrics (1984), 26: 387-398 The price is None Number 681 15 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004990767