On the First and Second Moments of the Truncated Multi-Normal Distribution and a Simple Estimator
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
Abstract
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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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.
Suggested citation
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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