An optimal modification of the LIML estimation for many instruments and persistent hetero\-sce\-dasticity

DOI10.1007/s10463-011-0336-7zbMath1254.62119OpenAlexW2138297542MaRDI QIDQ1926017

Naoto Kunitomo

Publication date: 27 December 2012

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-011-0336-7

zbMATH Keywords

asymptotic optimalityreduced rank regressionAOM-LIMLestimating equation estimationestimation of structural equations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Related Items (5)

Instrumental variable estimation of factor models with possibly many variables ⋮ ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS ⋮ Joint inference based on Stein-type averaging estimators in the linear regression model ⋮ The limited information maximum likelihood approach to dynamic panel structural equation models ⋮ Jackknife instrumental variable estimation with heteroskedasticity

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the asymptotic optimality of the LIML estimator with possibly many instruments
• A third order optimum property of the ML estimator in a linear functional relationship model and simultaneous equation system in econometrics
• Estimating linear statistical relationships
• Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations
• Empirical likelihood and general estimating equations
• ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS
• Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
• Asymptotic Expansions of the Distributions of Estimators in a Linear Functional Relationship and Simultaneous Equations
• Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator
• Some Properties of a Modification of the Limited Information Estimator
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Instrumental variable estimation with heteroskedasticity and many instruments
• Consistent Estimation with a Large Number of Weak Instruments
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations

This page was built for publication: An optimal modification of the LIML estimation for many instruments and persistent hetero\-sce\-dasticity