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

DOI10.1016/0304-4076(85)90043-0MaRDI QIDQ761001zbMATH OpenOpenAlexFDO

Authors John 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

2SLS structural estimatorsexact momentsfunctions of hypergeometric functionskurtosisnon-normal distribution of the Edgeworth typeordinary least squaresskewnesstwo-stage least squares

Mathematics Subject Classification ID

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

Review text

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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Cites work

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• Finite Sample Analysis of Misspecification in Simultaneous Equation Models
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• Regions of positive and unimodal series expansion of the Edgeworth and Gram-Charlier approximations
• Statistical distributions in univariate and multivariate Edgeworth populations
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Cited in

(7)

• The exact moments of OLS in dynamic regression models with non-normal errors
• The exact distribution of the TSLS estimator for a non-Gaussian just-identified linear structural equation
• 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
• scientific article; zbMATH DE number 1160746 (Why is no real title available?)
• The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution
• The use of third-order moments in structural models

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