Document Type
Discussion Paper
Publication Date
10-1-1981
CFDP Number
609
CFDP Pages
34
Abstract
A method of extracting marginal density approximations using the multivariate version of the Laplace formula is given and applied to instrumental variable estimators. Some leading exact distributions are derived for the general single equation case which lead to computable formulae and generalize all known results for marginal densities. These results are related to earlier work by Basmann (1963), Kabe (1964) and Phillips (1980b). Some general issues bearing on the current development of small sample theory and its application in empirical work are discussed in the introduction to the paper.
Recommended Citation
Phillips, Peter C.B., "Marginal Densities of Instrumental Variable Estimators in the General Single Equation Case" (1981). Cowles Foundation Discussion Papers. 845.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/845