COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Post Office Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 681

"The Exact Distribution of Exogenous Variable Coefficient Estimators"

Peter C.B. Phillips

July 1983

This paper derives the exact probability density function of the instrumental variable (IV) estimator of the exogenous variable coefficient vector in a structural equation containing n+1 endogenous variables and N degrees of overidentification. A leading case of the general distribution that is more amenable to analysis and computation is also presented. Conventional classical assumptions or normally distributed errors and nonrandom exogenous variables are employed.

See CFP 602