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 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.
- Russell Davidson & James MacKinnon, 2006. "Moments Of Iv And Jive Estimators," Departmental Working Papers 2006-22, McGill University, Department of Economics.
- 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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