The moments of OLS and 2SLS when the disturbances are non-normal (Q761001)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The moments of OLS and 2SLS when the disturbances are non-normal |
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The moments of OLS and 2SLS when the disturbances are non-normal (English)
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1985
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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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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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