On the Bimodality of the Exact Distribution of the TSLS Estimator
G. Forchini
Nelson and Startz (Econometrica, 58, 1990), Maddala and Jong
(Econometrica, 60, 1992) and Wolgrom (Econometrica, 69, 2001) have shown that
the density of the two-stage least squares estimator may be bimodal in a just
identified structural equation. This paper further investigates the conditions
under which bimodality may arise in a just over-identified model.
Keywords: Bimodality, Identification, Structural equation, Two Stage Least Squares
