Moments of IV and JIVE Estimators
AbstractWe 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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Bibliographic InfoPaper provided by Queen's University, Department of Economics in its series Working Papers with number 1085.
Length: 18 pages
Date of creation: Jun 2006
Date of revision:
polar coordinates; simultaneous equations; JIVE; moments; instrumental variables;
Other versions of this item:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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