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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Year of publication:	2006-06
Authors:	Davidson, Russell ; MacKinnon, James G.
Institutions:	Economics Department, Queen's University
Subject:	polar coordinates \| simultaneous equations \| JIVE \| moments \| instrumental variables

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 1085 18 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005688414