This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Moments Of Iv And Jive Estimators

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Russell Davidson ()
James MacKinnon ()

Additional information is available for the following registered author(s):

Abstract

We develop a new 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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: https://home.mcgill.ca/files/economics/momentsofiv.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by McGill University, Department of Economics in its series Departmental Working Papers with number 2006-22.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 18 pages
Date of creation: Sep 2006
Date of revision:
Handle: RePEc:mcl:mclwop:2006-22

Contact details of provider:
Postal: 855 Sherbrooke St. W., Montr�al, Qu�bec, H3A 2T7
Phone: (514) 398-4850
Fax: (514) 398-4938
Web page: http://www.repec.mcgill.ca
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Edith Breiner).

Related research
Keywords:

Other versions of this item:

Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

This paper has been announced in the following NEP Reports:

References listed on IDEAS
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.:
  1. Blomquist, Soren & Dahlberg, Matz, 1999. "Small Sample Properties of LIML and Jackknife IV Estimators: Experiments with Weak Instruments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(1), pages 69-88, Jan.-Feb.. [Downloadable!]
  2. James G. MacKinnon & Russell Davidson, 2006. "The case against JIVE," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 827-833. [Downloadable!]
    Other versions:
  3. Angrist, J D & Imbens, G W & Krueger, A B, 1999. "Jackknife Instrumental Variables Estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(1), pages 57-67, Jan.-Feb.. [Downloadable!]
    Other versions:
  4. Kinal, Terrence W, 1980. "The Existence of Moments of k-Class Estimators," Econometrica, Econometric Society, vol. 48(1), pages 241-49, January. [Downloadable!] (restricted)
  5. Fuller, Wayne A, 1977. "Some Properties of a Modification of the Limited Information Estimator," Econometrica, Econometric Society, vol. 45(4), pages 939-53, May. [Downloadable!] (restricted)
  6. Jinyong Hahn & Jerry Hausman & Guido Kuersteiner, 2004. "Estimation with weak instruments: Accuracy of higher-order bias and MSE approximations," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 272-306, 06. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, 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.)

  1. Russell Davidson & James G. MacKinnon, 2004. "The Case Against JIVE," Working Papers 1031, Queen's University, Department of Economics. [Downloadable!]
    Other versions:
  2. Stefan Boes, 2007. "Count Data Models with Unobserved Heterogeneity: An Empirical Likelihood Approach," Working Papers 0704, University of Zurich, Socioeconomic Institute. [Downloadable!]
Statistics
Access and download statistics

Did you know? Apart from a small start up grant in the 1990's, RePEc has received no funding and lives on the help of volunteers.

This page was last updated on 2008-6-25.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.