Scandinavian Working Papers in Economics

Memorandum,
Oslo University, Department of Economics

No 03/2004: Exact Small Sample Properties of the Instrumental Variable Estimator. A View From a Different Angle.

Halvor Mehlum ()
Additional contact information
Halvor Mehlum: Dept. of Economics, University of Oslo, Postal: Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway

Abstract: I derive the exact small sample properties of the instrumental variables estimator using a trigonometric approach. The distribution for the estimation error is decomposed into a product of three components - each with an intuitive interpretation. This approach helps the discussion on what underlies the exact shape of the estimator’s distribution and in particular the possibility of a bimodal distribution.

Keywords: Instrument; variable; estimator

JEL-codes: C30

14 pages, February 4, 2004

Full text files 

Memo-03-2004.pdf PDF-file

Download statistics

Questions (including download problems) about the papers in this series should be directed to Mari Strønstad Øverås ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2024-04-17 00:05:47.