Discontinuities of Weak Instrument Limiting Distributions

Jinyong Hahn and Guido Kuersteiner , Economics Letters 75(3) , 325-331 , May 2002.

We consider two stage least squares (2SLS) estimators of a simple simultaneous equations model when identification fails asymptotically. We investigate how the limiting distribution of the estimator changes as we vary our parametrization to allow for increasing degrees of non-identification.

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