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Yet more on the exact properties of IV estimators

Yet more on the exact properties of IV estimators
Yet more on the exact properties of IV estimators
We revisit the exact properties of two-stage least squares and limited information maximum likelihood estimators in a structural equation/IV regression under Gaussian assumptions. Simple derivations based on conditioning serve both to de-mystify the apparently complicated formulae, and to isolate the key quantities that determine the properties of the estimators. Some recent results obtained under weak-instrument asymptotics are sharpened and clarified by the exact analysis
913-931
Hillier, G.
3423bd61-c35f-497e-87a3-6a5fca73a2a1
Hillier, G.
3423bd61-c35f-497e-87a3-6a5fca73a2a1

Hillier, G. (2006) Yet more on the exact properties of IV estimators. Econometric Theory, 22 (5), 913-931. (doi:10.1017/S0266466606060415).

Record type: Article

Abstract

We revisit the exact properties of two-stage least squares and limited information maximum likelihood estimators in a structural equation/IV regression under Gaussian assumptions. Simple derivations based on conditioning serve both to de-mystify the apparently complicated formulae, and to isolate the key quantities that determine the properties of the estimators. Some recent results obtained under weak-instrument asymptotics are sharpened and clarified by the exact analysis

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Published date: 2006
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Local EPrints ID: 35104
URI: http://eprints.soton.ac.uk/id/eprint/35104
DOI: doi:10.1017/S0266466606060415
PURE UUID: b4f632a6-930c-4808-8034-9e5612700ab4
ORCID for G. Hillier: ORCID iD orcid.org/0000-0003-3261-5766

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Date deposited: 19 May 2006
Last modified: 16 Mar 2024 02:42

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Author: G. Hillier ORCID iD

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