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List:       r-help
Subject:    [R] How to simulate data where the covariate has large non-zero covariance with the residual and fou
From:       "Sun, John" <jsun20 () albany ! edu>
Date:       2022-09-28 14:53:22
Message-ID: BL0PR04MB4563D3B6A5B2EF3221FF56EFB9549 () BL0PR04MB4563 ! namprd04 ! prod ! outlook ! com
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Dear All,

I am writing to ask how to simulate data where the covariate has a large-non-zero \
covariance with the model residual and/or the regressors do not have finite fourth \
moments for regression analysis. 

I want to do some empirical monte-carlo simulations for continuous dependent \
variable, binary dependent variable, ordinal, categorical dependent variables that \
demonstrate loss of consistency when the covariate has a covariance non-zero with the \
residual for a future possible teaching project and for my own sanity to believe that \
instrumental variable estimator from Econometrics improves level-one fixed effects \
estimates. A source on stack-exchange with 15 votes says that when the finite fourth \
moments of regressors do no exist, the estimate of variance is non-consistent, \
https://stats.stackexchange.com/questions/16381/what-is-a-complete-list-of-the-usual-assumptions-for-linear-regression?noredirect=1&lq=1. \


Best regards,
John 

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