Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator
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Publication:3947034
DOI10.2307/1912774zbMath0486.62110OpenAlexW2070070529MaRDI QIDQ3947034
T. W. Anderson, Takamitsu Sawa, Naoto Kunitomo
Publication date: 1982
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://authors.library.caltech.edu/83320/
Applications of statistics to economics (62P20) Exact distribution theory in statistics (62E15) Statistical tables (62Q05) Probabilistic methods, stochastic differential equations (65C99) Statistical distribution theory (62E99)
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An optimal modification of the LIML estimation for many instruments and persistent hetero\-sce\-dasticity ⋮ Second-order refinements for \(t\)-ratios with many instruments ⋮ Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator ⋮ Finite-sample properties of single-equation estimators under structural change ⋮ THE ASYMPTOTIC DISTRIBUTION OF THE LIML ESTIMATOR IN A PARTIALLY IDENTIFIED STRUCTURAL EQUATION ⋮ Optimizing in the class of Fuller modified limited information maximum likelihood estimators ⋮ Asymptotic expansions of the distributions of the structural variance estimators in a simultaneous equations system ⋮ Regularizing Double Machine Learning in Partially Linear Endogenous Models ⋮ On the asymptotic optimality of the LIML estimator with possibly many instruments ⋮ On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments ⋮ Some properties of the LIML estimator in a dynamic panel structural equation ⋮ A third order optimum property of the ML estimator in a linear functional relationship model and simultaneous equation system in econometrics ⋮ Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations ⋮ Asymptotic probability concentrations and finite sample properties of modified LIML estimators for equations with more than two endogeneous variables ⋮ Further consequences of viewing LIML as an iterated Aitken estimator. ⋮ A monte carlo study of collinearity in linear simultaneous equation models∗ ⋮ Finite-sample properties of limited-iinformation estimators in misspecified simultaneous equation models ⋮ Location Properties of Point Estimators in Linear Instrumental Variables and Related Models
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