Poskitt and Skeels (2003) provide a new approximation to the sampling distribution of the IV estimator in a simultaneous equations model, the approximation is appropriate when the concentration parameter associated with the reduced form model is small. A basic purpose of this paper is to provide...

Poskitt and Skeels (2003) provide a new approximation to the sampling distribution of the IV estimator in a simultaneous equations model. This approximation is appropriate when the concentration parameter associated with the reduced form model is small and a basic purpose of this paper is to...

This paper presents a new approximation to the exact sampling distribution of the instrumental variables estimator in simultaneous equations models. It differs from many of the approximations currently available, Edgeworth expansions for example, in that it is specifically designed to work well...