On the Joint and Marginal Densities of Instrumental Variable Estimators in a General Structural Equation
一般结构方程中工具变量估计量的联合与边际密度
Starting from the conditional density of the instrumental variable (IV) estimator given the right-hand-side endogenous variables, we provide an alternative derivation of Phillips' result on the joint density of the IV estimator for the endogenous coefficients, and derive an expression for the marginal density of a linear combination of these coefficients. In addition, we extend Phillips' approximation to the joint density to 0( T −2 ,) and show how this result can be used to…