Moments Of Iv And Jive Estimators

James MacKinnon and Russell Davidson

No 1085, Working Paper from Economics Department, Queen's University

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 theconsequences of its lack of moments.

Keywords: JIVE; simultaneous equations; polar coordinates (search for similar items in EconPapers)
JEL-codes: C10 C13 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2006-06
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1085.pdf First version 2006 (application/pdf)

Related works:
Working Paper: Moments of IV and JIVE estimators (2009)
Journal Article: Moments of IV and JIVE estimators (2007)
Working Paper: MOMENTS OF IV AND JIVE ESTIMATORS (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1085

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