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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- Joshua D. Angrist & Guido W. Imbens & Alan Krueger, 1995.
"Jackknife Instrumental Variables Estimation,"
NBER Technical Working Papers
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Departmental Working Papers
2004-02, McGill University, Department of Economics.
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- 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..
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