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Moments Of Iv And Jive Estimators

Author

Listed:
  • Russell Davidson

  • James MacKinnon

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.

Suggested Citation

  • Russell Davidson & James MacKinnon, 2006. "Moments Of Iv And Jive Estimators," Departmental Working Papers 2006-22, McGill University, Department of Economics.
    • Handle: RePEc:mcl:mclwop:2006-22
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    File URL: https://home.mcgill.ca/files/economics/momentsofiv.pdf
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    Cited by:

    1. Russell Davidson & James G. MacKinnon, 2006. "The case against JIVE," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 827-833, September.
    2. Lei Bill Wang, 2023. "Estimating overidentified linear models with heteroskedasticity and outliers," Papers 2305.17615, arXiv.org, revised Aug 2024.
    3. 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, vol. 100(C), pages 734-762.
    4. 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

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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