Moments of IV and JIVE estimators
AbstractWe develop a method based on the use of polar coordinates to investigate the existence of moments for instrumental variables and related estimators in the linear regression model. For generalized IV estimators, we obtain familiar results. For JIVE, we obtain the new result that this estimator has no moments at all. Simulation results illustrate the consequences of its lack of moments. Copyright Royal Economic Society 2007
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Bibliographic InfoArticle provided by Royal Economic Society in its journal Econometrics Journal.
Volume (Year): 10 (2007)
Issue (Month): 3 (November)
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Other versions of this item:
- Russell Davidson & James MacKinnon, 2006. "Moments Of Iv And Jive Estimators," Departmental Working Papers 2006-22, McGill University, Department of Economics.
- Russell Davidson & James G. MacKinnon, 2006. "Moments of IV and JIVE Estimators," Working Papers 1085, Queen's University, Department of Economics.
- Russell Davidson & James Mackinnon, 2009. "Moments of IV and JIVE estimators," Working Papers halshs-00442692, HAL.
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"Jackknife Instrumental Variables Estimation,"
NBER Technical Working Papers
0172, National Bureau of Economic Research, Inc.
- Russell Davidson & James G. MacKinnon, 2004.
"The Case Against JIVE,"
1031, Queen's University, Department of Economics.
- Kinal, Terrence W, 1980. "The Existence of Moments of k-Class Estimators," Econometrica, Econometric Society, vol. 48(1), pages 241-49, January.
- Fuller, Wayne A, 1977. "Some Properties of a Modification of the Limited Information Estimator," Econometrica, Econometric Society, vol. 45(4), pages 939-53, May.
- Russell Davidson & James MacKinnon, 2006.
"The Case Against Jive,"
Departmental Working Papers
2004-02, McGill University, Department of Economics.
- Stefan Boes, 2007. "Count Data Models with Unobserved Heterogeneity: An Empirical Likelihood Approach," SOI - Working Papers 0704, Socioeconomic Institute - University of Zurich.
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