The Exact Distribution of Exogenous Variable Coefficient Estimators

Peter Phillips

No 681, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: 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.

Pages: 15 pages
Date: 1983-07
Note: CFP 602.
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Published in Journal of Econometrics (1984), 26: 387-398

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Journal Article: The exact distribution of exogenous variable coefficient estimators (1984)
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