Optimizing in the class of Fuller modified limited information maximum likelihood estimators

DOI10.1016/0047-259X(92)90035-EzbMath0761.62026MaRDI QIDQ1206451

Dennis Oberhelman, K. R. Kadiyala

Publication date: 1 April 1993

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

Asymptotic biassimulation studysimultaneous equationsfinite moments\(k\)-class estimatorslimited information maximum likelihoodasymptotic mean squared errorgeneral class of Fuller modified maximum likelihood estimatorssmall-\(\sigma\) expansions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Point estimation (62F10) Monte Carlo methods (65C05)

Related Items (1)

Asymptotic probability concentrations and finite sample properties of modified LIML estimators for equations with more than two endogeneous variables

Cites Work

• Handbook of econometrics. Volume I
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• Third-Order Efficiency of the Extended Maximum Likelihood Estimators in a Simultaneous Equation System
• Double k-Class Estimators of Parameters in Simultaneous Equations and Their Small Sample Properties
• The Existence of Moments of k-Class Estimators
• Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator
• Some Properties of a Modification of the Limited Information Estimator
• Comparison of k-Class Estimators When the Disturbances Are Small
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations

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