The asymptotic and finite sample distributions of OLS and simple IV in simultaneous equations

Computational Statistics and Data Analysis

Volumn 51, Issue 7, 2007, Pages 3296-3318

  Kiviet, Jan F ^a   Niemczyk, Jerzy ^a  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

4D Diagrams; Efficiency of an inconsistent estimator; Invalid instruments; Simultaneity bias; Weak instruments

Indexed keywords

ANIMATION; COMPUTER SIMULATION; ERROR ANALYSIS; LEAST SQUARES APPROXIMATIONS; LINEAR EQUATIONS; MATHEMATICAL MODELS;

4D DIAGRAMS; INCONSISTENT ESTIMATORS; INVALID INSTRUMENTS; SIMULTANEITY BIAS; WEAK INSTRUMENTS;

ASYMPTOTIC STABILITY;

EID: 33847405732     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.09.024     Document Type: Article

References (15)

1. Bound J., Jaeger D.A., and Baker R.M. Problems with instrumental variable estimation when the correlation between the instruments and the endogenous explanatory variable is weak. J. Amer. Statist. Assoc. 90 (1995) 443-450
2. Bun M.J.G., and Kiviet J.F. The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models. J. Econom. 132 (2006) 409-444
3. Dufour J.-M. Identification, weak instruments and statistical inference in econometrics. Canad. J. Econom. 36 (2003) 767-808
4. Elliott G., and Stock J.H. Confidence intervals for autoregressive coefficients near one. J. Econometrics 103 (2001) 155-181
5. Gallant A.R., and White H. A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models (1988), Basil Blackwell, Oxford
6. Hahn, J., Hausman, J.A., 2003. IV estimation with valid and invalid instruments: application to the returns of education. mimeo. Les Annales d'Economie et de Statistique (to appear).
7. Hall A.R., and Inoue A. The large sample behaviour of the generalized method of moments estimator in misspecified models. J. Econometrics 114 (2003) 361-394
8. Hillier G. Yet more on the exact properties of IV estimators. Econometric Theory 22 (2006) 913-931
9. Joseph A.S., and Kiviet J.F. Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks. J. Computat. Statist. Data Anal. 49 (2005) 417-444
10. Kiviet J.F., and Phillips G.D.A. Improved coefficient and variance estimation in stable first-order dynamic regression models. UvA-Econometrics Discussion Paper 2002/02 (2003)
11. Maasumi E., and Phillips P.C.B. On the behavior of inconsistent instrumental variable estimators. J. Econometrics 19 (1982) 183-201
12. Phillips P.C.B., and Wickens M.R. Exercises in Econometrics (1978), Philip Allen and Ballinger, Cambridge, MA
13. Rothenberg, T.J., 1972. The asymptotic distribution of the least squares estimator in the errors in variables model. Unpublished Mimeo.
14. Staiger D., and Stock J.H. Instrumental variables regression with weak instruments. Econometrica 65 (1997) 557-586
15. Woglom G. More results on the exact small sample properties of the instrumental variable estimator. Econometrica 69 (2001) 1381-1389