| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0068 |
| 来源ID | Technical Working Paper 0068 |
| Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator | |
| Charles R. Nelson; Richard Startz | |
| 发表日期 | 1988-09-01 |
| 出版年 | 1988 |
| 语种 | 英语 |
| 摘要 | New results on the exact small sample distribution of the instrumental variable estimator are presented by studying an important special case. The exact closed forms for the probability density and cumulative distribution functions are given. There are a number of surprising findings. The small sample distribution is bimodal. with a point of zero probability mass. As the asymptotic variance grows large, the true distribution becomes concentrated around this point of zero mass. The central tendency of the estimator may be closer to the biased least squares estimator than it is to the true parameter value. The first and second moments of the IV estimator are both infinite. In the case in which least squares is biased upwards, and most of the mass of the IV estimator lies to the right of the true parameter, the mean of the IV estimator is infinitely negative. The difference between the true distribution and the normal asymptotic approximation depends on the ratio of the asymptotic variance to a parameter related to the correlation between the regressor and the regression, error. In particular, when the instrument is poorly correlated with the regressor, the asymptotic approximation to the distribution of the instrumental variable estimator will not be very accurate. |
| 主题 | Econometrics |
| URL | https://www.nber.org/papers/t0068 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/559956 |
| 推荐引用方式 GB/T 7714 | Charles R. Nelson,Richard Startz. Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator. 1988. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0068.pdf（935KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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