Distribution of a Structural t-Statistic for the Case of Two Included Endogenous Variables.

In this article we study the exact finite sample distribution function of a t-statistic that can be used to test hypotheses and construct confidence intervals for structural coefficients in simultaneous equations models. It is shown that the exact distribution function is equal to Student's t-distribution when one of its parameters is zero and converges to Student's t-distribution function as another of its parameters increases without bound. Computations of the exact distribution function and its first three moments indicate the error that might result if Student's t-distribution function is used as an approximation to the exact distribution function. [ABSTRACT FROM AUTHOR]