ON THE BIMODALITY OF THE EXACT DISTRIBUTION OF THE TSLS ESTIMATOR

B-Tier
Journal: Econometric Theory
Year: 2006
Volume: 22
Issue: 5
Pages: 932-946

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We investigate the possible bimodality of the density of the two-stage least squares (TSLS) estimator in a just-identified/overidentified linear structural equation. By studying the interaction between weakness of instruments, degree of endogeneity, and degree of overidentification we are able to identify conditions for its existence.I thank Grant Hillier, Patrick Marsh, Don Poskitt, the editor Peter Phillips, and two anonymous referees for useful and encouraging comments.

Technical Details

RePEc Handle
repec:cup:etheor:v:22:y:2006:i:05:p:932-946_06
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25