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On the moments of ordinary least squares and instrumental variables estimators in a general structural equation

On the moments of ordinary least squares and instrumental variables estimators in a general structural equation
On the moments of ordinary least squares and instrumental variables estimators in a general structural equation
Exact expressions are given for the first two moments of a linear combination of the elements of an instrumental variables estimator for the coefficients of the endogenous variables in a general structural equation. These results generalize previous exact results for equations containing just two or three endogenous variables. In addition, we provide bounds on the moments that can easily be estimated, and generalize some earlier qualitative results for these estimators.
0012-9682
185-202
Hillier, Grant
3423bd61-c35f-497e-87a3-6a5fca73a2a1
Kinal, T. W.
2b876762-cd21-41da-98e9-e0661602e0aa
Srivastava, V. K.
e1c837aa-c3b6-433c-a8c1-3b99acf2da8f
Hillier, Grant
3423bd61-c35f-497e-87a3-6a5fca73a2a1
Kinal, T. W.
2b876762-cd21-41da-98e9-e0661602e0aa
Srivastava, V. K.
e1c837aa-c3b6-433c-a8c1-3b99acf2da8f

Hillier, Grant, Kinal, T. W. and Srivastava, V. K. (1984) On the moments of ordinary least squares and instrumental variables estimators in a general structural equation. Econometrica, 52 (1), 185-202. (doi:10.2307/1911467).

Record type: Article

Abstract

Exact expressions are given for the first two moments of a linear combination of the elements of an instrumental variables estimator for the coefficients of the endogenous variables in a general structural equation. These results generalize previous exact results for equations containing just two or three endogenous variables. In addition, we provide bounds on the moments that can easily be estimated, and generalize some earlier qualitative results for these estimators.

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Published date: January 1984

Identifiers

Local EPrints ID: 417153
URI: http://eprints.soton.ac.uk/id/eprint/417153
DOI: doi:10.2307/1911467
ISSN: 0012-9682
PURE UUID: 626236c5-37aa-4e6d-a1fe-51c552e5aaf6
ORCID for Grant Hillier: ORCID iD orcid.org/0000-0003-3261-5766

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Date deposited: 22 Jan 2018 17:30
Last modified: 16 Mar 2024 02:42

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Contributors

Author: Grant Hillier ORCID iD
Author: T. W. Kinal
Author: V. K. Srivastava

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