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

DOI10.1016/0304-4076(85)90043-0zbMath0556.62095OpenAlexW2048727456MaRDI 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

kurtosisskewnessordinary least squarestwo-stage least squares2SLS structural estimatorsexact momentsfunctions of hypergeometric functionsnon-normal distribution of the Edgeworth type

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Exact distribution theory in statistics (62E15)

Related Items (4)

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 ⋮ Bayesian predictive analysis of the linear regression model with an edgeworth series prior distribution

Cites Work

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• 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

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