Title:

The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution

Authors:

Fernanda Peixe (U Évora)
Alastair Hall (NC State U)
Kostas Kyriakoulis (NC State U)

Journal:

Econometric Reviews

Year:

2006

Volume:

25

Pages:

117-138

JEL codes:

C32 - Time-Series Models
C31 - Cross-Sectional Models; Spatial Models; Treatment Effect Models