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.
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- James G. MacKinnon & Russell Davidson, 2006.
"The case against JIVE,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 21(6), pages 827-833.
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NBER Technical Working Papers
0172, National Bureau of Economic Research, Inc.
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