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Moments of IV and JIVE estimators

Author

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  • Russell Davidson

    () (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - CNRS - Centre National de la Recherche Scientifique - ECM - Ecole Centrale de Marseille, CIREG - Centre interuniversitaire de recherche en économie quantitative - Université de Montréal, Department of Economics - McGill University)

  • James Mackinnon

    () (Department of Economics - Queen's University [Kingston])

Abstract

We 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.

Suggested Citation

  • Russell Davidson & James Mackinnon, 2009. "Moments of IV and JIVE estimators," Working Papers halshs-00442692, HAL.
  • Handle: RePEc:hal:wpaper:halshs-00442692 Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00442692
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    References listed on IDEAS

    as
    1. Robin Boadway & Pierre Pestieau, 2006. "Tagging and redistributive taxation," Annals of Economics and Statistics, GENES, issue 83-84, pages 123-147.
    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., pages 69-88.
    3. Russell Davidson & James MacKinnon, 2006. "The Case Against Jive," Departmental Working Papers 2004-02, McGill University, Department of Economics.
    4. Fuller, Wayne A, 1977. "Some Properties of a Modification of the Limited Information Estimator," Econometrica, Econometric Society, vol. 45(4), pages 939-953, May.
    5. James G. MacKinnon & Russell Davidson, 2006. "The case against JIVE," Journal of Applied Econometrics, John Wiley & Sons, Ltd., pages 827-833.
    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, June.
    7. Angrist, J D & Imbens, G W & Krueger, A B, 1999. "Jackknife Instrumental Variables Estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., pages 57-67.
    8. Kinal, Terrence W, 1980. "The Existence of Moments of k-Class Estimators," Econometrica, Econometric Society, vol. 48(1), pages 241-249, January.
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    Citations

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    Cited by:

    1. James G. MacKinnon & Russell Davidson, 2006. "The case against JIVE," Journal of Applied Econometrics, John Wiley & Sons, Ltd., pages 827-833.
    2. Robin Boadway & Pierre Pestieau, 2006. "Tagging and redistributive taxation," Annals of Economics and Statistics, GENES, issue 83-84, pages 123-147.
    3. Russell Davidson & James MacKinnon, 2006. "The Case Against Jive," Departmental Working Papers 2004-02, McGill University, Department of Economics.
    4. Phillips, Garry D.A. & Liu-Evans, Gareth, 2016. "Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models," Computational Statistics & Data Analysis, Elsevier, pages 734-762.
    5. Stefan Boes, 2007. "Count Data Models with Unobserved Heterogeneity: An Empirical Likelihood Approach," SOI - Working Papers 0704, Socioeconomic Institute - University of Zurich.

    More about this item

    Keywords

    instrumental variables; JIVE; moments of estimators;

    JEL classification:

    • 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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