Some Exact Distribution Results for the Partially Restricted Reduced form Estimator

Terrence W. Kinal and John L. Knight

Econometric Theory, 1994, vol. 10, issue 01, pages 140-171

Abstract: This paper considers some finite sample properties of the partially restricted reduced form estimators in a general (n + 1) endogenous variable model. In particular, the characteristic functions, density functions, and moments are examined for both the vector of estimators and a linear combination. The approach utilizes both invariant polynomials of matrix argument (see Chikuse and Davis [4] and Davis [6]) and fractional calculus techniques (see Phillips [20,25,26]).

Date: 1994

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