Moments of IV and JIVE Estimators

Russell Davidson and James MacKinnon

No 273561, Queen's Economics Department Working Papers from Queen's University - Department of Economics

Abstract: 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.

Keywords: Financial; Economics (search for similar items in EconPapers)
Pages: 18
Date: 2007-07
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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)
Working Paper: Moments Of Iv And Jive Estimators (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:quedwp:273561

DOI: 10.22004/ag.econ.273561

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