Improved instrumental variables estimati
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Emma M. Iglesias; Garry D. A. Phillips
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Article
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2010
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John Wiley and Sons
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English
β 207 KB
## Abstract In this paper we develop estimation techniques and a specification test for the validity of instrumental variables allowing for conditionally heteroskedastic disturbances. We propose modified twoβstage least squares (2SLS) and modified 3SLS procedures where the conditional heteroskedast