Moments of IV and JIVE estimators
Russell Davidson and
James MacKinnon ()
Econometrics Journal, 2007, vol. 10, issue 3, pages 541-553
We develop a 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. Copyright Royal Economic Society 2007
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Working Paper: Moments of IV and JIVE estimators (2009)
Working Paper: MOMENTS OF IV AND JIVE ESTIMATORS (2006)
Working Paper: Moments of IV and JIVE Estimators (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:ect:emjrnl:v:10:y:2007:i:3:p:541-553
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