The exact distribution of the TSLS estimator for a non-Gaussian just-identified linear structural equation
نویسندگان
چکیده
منابع مشابه
on the effect of linear & non-linear texts on students comprehension and recalling
چکیده ندارد.
15 صفحه اولOn the Bimodality of the Exact Distribution of the TSLS Estimator
Nelson and Startz (Econometrica, 58, 1990), Maddala and Jong (Econometrica, 60, 1992) and Wolgrom (Econometrica, 69, 2001) have shown that the density of the two-stage least squares estimator may be bimodal in a just identified structural equation. This paper further investigates the conditions under which bimodality may arise in a just/over-identified model. JEL Classification C30
متن کاملThe Asymptotic Distribution of the LIML Estimator in a Partially Identified Structural Equation
We derive a closed form expression for the asymptotic distribution of the LIML estimator for the coefficients of both endogenous and exogenous variables in a partially identified linear structural equation. We extend previous results of Phillips (1989) and Choi and Phillips (1992) where the focus was on IV estimators. We show that partial failure of identification affects the LIML in that its m...
متن کاملNon-Gaussian Methods for Learning Linear Structural Equation Models
Special thanks to Aapo Hyvärinen, Patrik O. Hoyer and Takashi Washio. 2 Abstract • Linear structural equation models (linear SEMs) can be used to model data generating processes of variables. • We review a new approach to learn or estimate linear structural equation models. • The new estimation approach utilizes non-Gaussianity of data for model identification and uniquely estimates much wider...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Economics Letters
سال: 2007
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2006.09.022