The moments of OLS and 2SLS when the disturbances are non-normal (Q761001): Difference between revisions

This paper examines the exact moments of OLS and 2SLS structural estimators under the assumption that the reduced form disturbances follow a non-normal distribution of the Edgeworth type with specified skewness \((\lambda_ 3)\) and kurtosis \((\lambda_ 4)\). The exact results are given as functions of hypergeometric functions and \(\lambda_ 3\) and \(\lambda_ 4\).

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Mathematics Subject Classification ID

62P20

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ordinary least squares

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two-stage least squares

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exact moments

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2SLS structural estimators

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non-normal distribution of the Edgeworth type

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skewness

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kurtosis

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functions of hypergeometric functions

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/0304-4076(85)90043-0

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OpenAlex ID

W2048727456

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cites work

The conditions under which Gram-Charlier and Edgeworth curves are positive definite and unimodal

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Statistical distributions in univariate and multivariate Edgeworth populations

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Regions of positive and unimodal series expansion of the Edgeworth and Gram-Charlier approximations

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Finite Sample Analysis of Misspecification in Simultaneous Equation Models

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A note on finite sample analysis of misspecification in simultaneous equation models

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Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume

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Q3341732

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Finite-Sample Properties of the k-Class Estimators

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Q3259158

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Q5538624

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Q5570572

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Sitelinks

Mathematics(1 entry)

mardi Publication:761001

@@ Property / full work available at URL @@
+https://doi.org/10.1016/0304-4076(85)90043-0
+Normal rank
@@ Property / OpenAlex ID @@
+W2048727456
@@ Property / OpenAlex ID: W2048727456 / rank @@
+Normal rank
@@ Property / cites work @@
+The conditions under which Gram-Charlier and Edgeworth curves are positive definite and unimodal
+Normal rank
@@ Property / cites work @@
+Statistical distributions in univariate and multivariate Edgeworth populations
+Normal rank
@@ Property / cites work @@
+Regions of positive and unimodal series expansion of the Edgeworth and Gram-Charlier approximations
+Normal rank
@@ Property / cites work @@
+Finite Sample Analysis of Misspecification in Simultaneous Equation Models
+Normal rank
@@ Property / cites work @@
+A note on finite sample analysis of misspecification in simultaneous equation models
+Normal rank
@@ Property / cites work @@
+Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume
+Normal rank
@@ Property / cites work @@
+Q3341732
@@ Property / cites work: Q3341732 / rank @@
+Normal rank
@@ Property / cites work @@
+Finite-Sample Properties of the k-Class Estimators
+Normal rank
@@ Property / cites work @@
+Q3259158
@@ Property / cites work: Q3259158 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5538624
@@ Property / cites work: Q5538624 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5570572
@@ Property / cites work: Q5570572 / rank @@
+Normal rank