Additional approximations to the distribution of a structural coefficient estimator for the case of two included endogenous variables |
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Authors: | J Lew Silver Mukhtar Ali |
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Institution: | Department of Economics , University of Kentucky , Lexington, 40506-0034, KY |
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Abstract: | Four new approximations t o the exact distribution of the two-stage l e a s t squares estimator of astructuralcoefficient for the case of two included endogeneous variables are introduced and compared with the others in the literatur e . Two of the new approximations are based on the Pearson distribution and are found to be adequate throughout the parameter space. A normal approximation using exact moments and an approximation based on the saddlepoint method (Holly and Phillips,1979) are found to be poor for a wide range of parameter values. |
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Keywords: | twostage least squares small sample distribution approximation econometrics |
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