Exact Small Sample Properties of the Instrumental Variable Estimator. A View From a Different Angle

Halvor Mehlum

No 03/2004, Memorandum from Oslo University, Department of Economics

Abstract: I derive the exact small sample properties of the instrumental variables estimator using a trigonometric approach. The distribution for the estimation error is decomposed into a product of three components - each with an intuitive interpretation. This approach helps the discussion on what underlies the exact shape of the estimator’s distribution and in particular the possibility of a bimodal distribution.

Keywords: Instrument; variable; estimator (search for similar items in EconPapers)
JEL-codes: C30 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2004-02-04
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sv.uio.no/econ/english/research/unpubli ... 004/Memo-03-2004.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.sv.uio.no/econ/english/research/unpublished-works/working-papers/pdf-files/2004/Memo-03-2004.pdf [301 Moved Permanently]--> https://www.sv.uio.no/econ/english/research/unpublished-works/working-papers/pdf-files/2004/Memo-03-2004.pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhs:osloec:2004_003

Access Statistics for this paper

More papers in Memorandum from Oslo University, Department of Economics Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway. Contact information at EDIRC.
Bibliographic data for series maintained by Mari Strønstad Øverås ().