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
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