Moments of IV and JIVE estimators

Russell Davidson (1, 2, 3) , James Mackinnon (4)

1 GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille
2 CIREQ - Centre interuniversitaire de recherche en économie quantitative
3 Department of Economics [Montréal]
4 Department of Economics

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.

Mots clés: instrumental variables; JIVE; moments of estimators

Domaines: Economies et finances

Russell Davidson, James Mackinnon. Moments of IV and JIVE estimators. 2009. ⟨halshs-00442692⟩