Econometrica: Jan 1980, Volume 48, Issue 1

The Existence of Moments of k-Class Estimators

https://doi.org/0012-9682(198001)48:1<241:TEOMOK>2.0.CO;2-D
p. 241-250

Terrence W. Kinal

For the regression equation [email protected][email protected]? where A is a p x q stochastic matrix whose elements are independently distributed and contemporaneously correlated with the elements of @?, the /th moment of the least squares estimator of @B exists if and only if l
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