On the Bimodality of the Exact Distribution of the TSLS Estimator

Giovanni Forchini

No 14/05, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: Nelson and Startz (Econometrica, 58, 1990), Maddala and Jong (Econometrica, 60, 1992) and Wolgrom (Econometrica, 69, 2001) have shown that the density of the two-stage least squares estimator may be bimodal in a just identified structural equation. This paper further investigates the conditions under which bimodality may arise in a just over-identified model.

Keywords: Bimodality; Identification; Structural equation; Two Stage Least Squares. (search for similar items in EconPapers)
JEL-codes: C30 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2005-05
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: ON THE BIMODALITY OF THE EXACT DISTRIBUTION OF THE TSLS ESTIMATOR (2006)
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