Document Type
Discussion Paper
Publication Date
7-1-1983
CFDP Number
681
CFDP Pages
16
Abstract
This paper derives the exact probability density function of the instrumental variable (IV) estimator of the exogenous variable coefficient vector in a structural equation containing n + 1 endogenous variables and N degrees of overidentification. A leading case of the general distribution that is more amenable to analysis and computation is also presented. Conventional classical assumptions or normally distributed errors and nonrandom exogenous variables are employed.
Recommended Citation
Phillips, Peter C.B., "The Exact Distribution of Exogenous Variable Coefficient Estimators" (1983). Cowles Foundation Discussion Papers. 914.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/914