CFDP 681

The Exact Distribution of Exogenous Variable Coefficient Estimators


Publication Date: July 1983

Pages: 16


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.

See CFP: 602