Moments of IV and JIVE estimators

Russell Davidson and James MacKinnon

Working Papers from HAL

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: instrumental variables; JIVE; moments of estimators (search for similar items in EconPapers)
Date: 2009-12-22
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00442692
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Related works:
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:hal:wpaper:halshs-00442692

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