EconPapers    
Economics at your fingertips  
 

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
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
https://home.mcgill.ca/files/economics/momentsofiv.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

Related works:
Working Paper: Moments of IV and JIVE estimators (2009) Downloads
Journal Article: Moments of IV and JIVE estimators (2007) Downloads
Working Paper: Moments Of Iv And Jive Estimators (2006) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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

Access Statistics for this paper

More papers in Departmental Working Papers from McGill University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Shama Rangwala ( this e-mail address is bad, please contact ).

 
Page updated 2021-01-25
Handle: RePEc:mcl:mclwop:2006-22