ON THE BIMODALITY OF THE EXACT DISTRIBUTION OF THE TSLS ESTIMATOR

Giovanni Forchini

Econometric Theory, 2006, vol. 22, issue 5, 932-946

Abstract: We investigate the possible bimodality of the density of the two-stage least squares (TSLS) estimator in a just-identified/overidentified linear structural equation. By studying the interaction between weakness of instruments, degree of endogeneity, and degree of overidentification we are able to identify conditions for its existence.I thank Grant Hillier, Patrick Marsh, Don Poskitt, the editor Peter Phillips, and two anonymous referees for useful and encouraging comments.

Date: 2006
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Working Paper: On the Bimodality of the Exact Distribution of the TSLS Estimator (2005)
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