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Moments of IV and JIVE Estimators

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Author Info

  • Russell Davidson

    () (McGill University)

  • James G. MacKinnon

    () (Queen's University)

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.

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File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_1085.pdf
File Function: First version 2006
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Bibliographic Info

Paper provided by Queen's University, Department of Economics in its series Working Papers with number 1085.

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Length: 18 pages
Date of creation: Jun 2006
Date of revision:
Handle: RePEc:qed:wpaper:1085

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Keywords: polar coordinates; simultaneous equations; JIVE; moments; instrumental variables;

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References

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  1. Russell Davidson & James G. MacKinnon, 2004. "The Case Against JIVE," Working Papers 1031, Queen's University, Department of Economics.
  2. 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..
  3. Fuller, Wayne A, 1977. "Some Properties of a Modification of the Limited Information Estimator," Econometrica, Econometric Society, vol. 45(4), pages 939-53, May.
  4. Joshua D. Angrist & Guido W. Imbens & Alan Krueger, 1995. "Jackknife Instrumental Variables Estimation," NBER Technical Working Papers 0172, National Bureau of Economic Research, Inc.
  5. 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.
  6. Kinal, Terrence W, 1980. "The Existence of Moments of k-Class Estimators," Econometrica, Econometric Society, vol. 48(1), pages 241-49, January.
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Cited by:
  1. Russell Davidson & James G. MacKinnon, 2004. "The Case Against JIVE," Working Papers 1031, Queen's University, Department of Economics.
  2. Stefan Boes, 2007. "Count Data Models with Unobserved Heterogeneity: An Empirical Likelihood Approach," Working Papers 0704, University of Zurich, Socioeconomic Institute.

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