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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- 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..
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- Russell Davidson & James MacKinnon, 2006.
"The Case Against Jive,"
Departmental Working Papers
2004-02, McGill University, Department of Economics.
- Fuller, Wayne A, 1977. "Some Properties of a Modification of the Limited Information Estimator," Econometrica, Econometric Society, vol. 45(4), pages 939-53, May.
- 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..
- 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.
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