Moments Of Iv And Jive Estimators
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.
|Date of creation:||Sep 2006|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (514) 398-3030
Fax: (514) 398-4938
Web page: http://www.repec.mcgill.ca
More information through EDIRC
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.:
- Fuller, Wayne A, 1977. "Some Properties of a Modification of the Limited Information Estimator," Econometrica, Econometric Society, vol. 45(4), pages 939-53, May.
- Russell Davidson & James G. MacKinnon, 2004.
"The Case Against JIVE,"
1031, Queen's University, Department of Economics.
- 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..
- 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..
- 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.
- Kinal, Terrence W, 1980. "The Existence of Moments of k-Class Estimators," Econometrica, Econometric Society, vol. 48(1), pages 241-49, January.
When requesting a correction, please mention this item's handle: RePEc:mcl:mclwop:2006-22. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shama Rangwala)The email address of this maintainer does not seem to be valid anymore. Please ask Shama Rangwala to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.