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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)

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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://www.econ.queensu.ca/working_papers/papers/qed_wp_1085.pdf
File Format: application/pdf
File Function: First version 2006
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Publisher 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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Related research
Keywords: polar coordinates; simultaneous equations; JIVE; moments; instrumental variables;

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Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation

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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)
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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!]
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This page was last updated on 2009-11-24.

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