MOMENTS OF IV AND JIVE ESTIMATORS

Russell Davidson and James MacKinnon

Departmental Working Papers from McGill University, Department of Economics

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 the consequences of its lack of moments.

JEL-codes: C10 C12 C30 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2006-09
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (3)

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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)
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Persistent link: https://EconPapers.repec.org/RePEc:mcl:mclwop:2006-22

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