Peixe, Fernanda; Hall, Alastair; Kyriakoulis, Kostas - In: Econometric Reviews 25 (2006) 1, pp. 117-138
This paper generalizes Nagar's (1959) approximation to the finite sample mean squared error (MSE) of the instrumental variables (IV) estimator to the case in which the errors possess an elliptical distribution whose moments exist up to infinite order. This allows for types of excess kurtosis...