Arbeitspapier
Moments of IV and JIVE Estimators
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Queen's Economics Department Working Paper ; No. 1085
- Classification
-
Wirtschaft
Econometric and Statistical Methods and Methodology: General
Estimation: General
- Subject
-
polar coordinates
simultaneous equations
JIVE
moments
instrumental variables
- Event
-
Geistige Schöpfung
- (who)
-
Davidson, Russell
MacKinnon, James G.
- Event
-
Veröffentlichung
- (who)
-
Queen's University, Department of Economics
- (where)
-
Kingston (Ontario)
- (when)
-
2006
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Davidson, Russell
- MacKinnon, James G.
- Queen's University, Department of Economics
Time of origin
- 2006
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