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Instrumental Variables Estimation in Misspecified Single Equations

Published online by Cambridge University Press:  11 February 2009

Christopher L. Skeels
Christopher L. Skeels
Affiliation:
Australian National University
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Abstract

This paper examines the exact sampling behavior of a family of instrumental variables estimators of the coefficients in a single structural equation when the model has been misspecified by the incorrect inclusion or exclusion of variables. It is found that such specification errors can have implications for the structure of the exact results obtained. A brief numerical examination of the analytical results is also provided.

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Articles
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Econometric Theory , Volume 11 , Issue 3 , June 1995 , pp. 498 - 529
Copyright
Copyright © Cambridge University Press 1995

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