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

two-stage least squareskurtosisordinary least squaresskewness2SLS structural estimatorsexact momentsfunctions of hypergeometric functionsnon-normal distribution of the Edgeworth type

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3141417 (Why is no real title available?)
• scientific article; zbMATH DE number 3876450 (Why is no real title available?)
• scientific article; zbMATH DE number 3251910 (Why is no real title available?)
• scientific article; zbMATH DE number 3287340 (Why is no real title available?)
• 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
• Finite-Sample Properties of the k-Class Estimators
• Regions of positive and unimodal series expansion of the Edgeworth and Gram-Charlier approximations
• Statistical distributions in univariate and multivariate Edgeworth populations
• The conditions under which Gram-Charlier and Edgeworth curves are positive definite and unimodal

Cited in

(6)

• The exact moments of OLS in dynamic regression models with non-normal errors
• The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution
• The exact distribution of the TSLS estimator for a non-Gaussian just-identified linear structural equation
• Bayesian predictive analysis of the linear regression model with an edgeworth series prior distribution
• The use of third-order moments in structural models
• Small sample properties of ridge estimators with normal and non-normal disturbances

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