The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution

DOI10.1080/07474930500545488zbMath1225.62142OpenAlexW2115440013MaRDI QIDQ5291760

Kostas Kyriakoulis, Fernanda P. M. Peixe, Alastair R. Hall

Publication date: 22 May 2006

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930500545488

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Estimation of Regression Coefficients in a Restricted Measurement Error Model Using Instrumental Variables ⋮ A Consistent Method for the Selection of Relevant Instruments

Cites Work

• Unnamed Item
• The moments of OLS and 2SLS when the disturbances are non-normal
• Moments of OLS estimators in an autoregressive moving average model with explanatory variables
• Effects of skewness and kurtosis on model selection criteria
• ARCH modeling in finance. A review of the theory and empirical evidence
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• On the Moments of Ordinary Least Squares and Instrumental Variables Estimators in a General Structural Equation
• The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• The Bias of Instrumental Variable Estimators
• A Consistent Method for the Selection of Relevant Instruments
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• The Validity of Nagar's Expansion for the Moments of Econometric Estimators
• Second Order Approximation in the Partially Linear Regression Model
• Second order approximation in a linear regression with heteroskedasticity of unknown form
• GMM, GEL, Serial Correlation, and Asymptotic Bias
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators

This page was built for publication: The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution