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Title:Exact small sample properties of the instrumental variable estimator: A view from a different angle PDF Logo
Authors:Mehlum, Halvor
Issue Date:2004
Series/Report no.:Memorandum, Department of Economics, University of Oslo 2004,03
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.
Subjects:Instrument
variable
estimator
JEL:C30
Document Type:Working Paper
Appears in Collections:Memorandum, Department of Economics, University of Oslo

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