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Moments of IV and JIVE Estimators
Oleh:
Davidson, Russell
;
MacKinnon, James G.
Jenis:
Article from Journal - ilmiah internasional
Dalam koleksi:
The Econometrics Journal vol. 10 no. 3 (2007)
,
page 541-553.
Topik:
ESTIMATOR
;
polar coordinates
;
simultaneous equations
;
JIVE
;
moments
;
instrumental variables
Fulltext:
541.pdf
(257.5KB)
Ketersediaan
Perpustakaan Pusat (Semanggi)
Nomor Panggil:
EE39.3
Non-tandon:
1 (dapat dipinjam: 0)
Tandon:
tidak ada
Lihat Detail Induk
Isi artikel
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.
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