Open AccessMoments of IV and JIVE estimators
Author(s) -
Davidson Russell,
MacKin James G.
Publication year - 2007
Publication title -
the econometrics journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 3.861
H-Index - 36
eISSN - 1368-423X
pISSN - 1368-4221
DOI - 10.1111/j.1368-423x.2007.00221.x
Subject(s) - library science , estimator , queen (butterfly) , media studies , sociology , computer science , mathematics , statistics , hymenoptera , botany , biology
Summary 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.