On the First and Second Moments of the Truncated Multi-Normal Distribution and a Simple Estimator

Lee, Lung-Fei
1979-10
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On the First and Second Moments of the Truncated Multi-Normal Distribution and a Simple Estimator

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1979-10

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Center for Economic Research, Department of Economics, University of Minnesota

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Working Paper

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The relations between the first two moments of multivariate normal random variables with some components truncated are found. Simple instrumental variable estimators are available. The analysis extends results of Amemiya, Sickles and Schmidt.

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This paper was also published in Economic Letters.

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Center for Economic Research Discussion Papers

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Discussion Paper
122

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Lee, L., (1979), "On the First and Second Moments of the Truncated Multi-Normal Distribution and a Simple Estimator", Discussion Paper No. 122, Center for Economic Research, Department of Economics, University of Minnesota.

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Lee, Lung-Fei. (1979). On the First and Second Moments of the Truncated Multi-Normal Distribution and a Simple Estimator. Retrieved from the University Digital Conservancy, https://hdl.handle.net/11299/55008.

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