Inverting the indirect—The ellipse and the boomerang: Visualizing the confidence intervals of the structural coefficient from two-stage least squares
椭圆与回旋镖：两阶段最小二乘结构系数置信区间的可视化
In the just-identified model,the exact distribution of the two-stage least squares (2SLS) estimator of the coefficient of the endogenous regressor is a ratio of two normally distributed random variables. Basmann (1960, 1974) used Fieller’s 1932 result to derive the density function of the estimator. In this paper, we present a novel graphical exposition of Fieller’s 1954 technique to approximate the confidence interval for the 2SLS estimator. We use this approach to examine…