The purpose of this paper is to give experimental evidence on the small-sample properties of the iterative instrumental variables estimator originally proposed by Lyttkens , relative to the more conventional methods including ordinary least squares, limited information single equation maximum likelihood and three stage least squares.
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Mathematics (miscellaneous)
- Social Sciences (miscellaneous)
- Economics and Econometrics