On the Bimodality of the Exact Distribution of the TSLS Estimator

نویسنده

  • G. Forchini
چکیده

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

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تاریخ انتشار 2005