The moments of OLS and 2SLS when the disturbances are non-normal

DOI10.1016/0304-4076(85)90043-0zbMath0556.62095MaRDI QIDQ761001

John L. Knight

Publication date: 1985

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(85)90043-0

zbMATH Keywords

kurtosis; skewness; ordinary least squares; two-stage least squares; 2SLS structural estimators; exact moments; functions of hypergeometric functions; non-normal distribution of the Edgeworth type

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62J05: Linear regression; mixed models

62E15: Exact distribution theory in statistics

Related Items

Bayesian predictive analysis of the linear regression model with an edgeworth series prior distribution, The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution, The exact moments of OLS in dynamic regression models with non-normal errors, Small sample properties of ridge estimators with normal and non-normal disturbances

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A note on finite sample analysis of misspecification in simultaneous equation models
• Finite Sample Analysis of Misspecification in Simultaneous Equation Models
• Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume
• Statistical distributions in univariate and multivariate Edgeworth populations
• Regions of positive and unimodal series expansion of the Edgeworth and Gram-Charlier approximations
• Finite-Sample Properties of the k-Class Estimators
• The conditions under which Gram-Charlier and Edgeworth curves are positive definite and unimodal