An Asymptotic Expansion of the Distribution of the Limited Information Maximum Likelihood Estimate of a Coefficient in a Simultaneous Equation System

DOI10.2307/2285698zbMath0301.62057OpenAlexW4246392013MaRDI QIDQ4055048

T. W. Anderson

Publication date: 1974

Full work available at URL: https://doi.org/10.2307/2285698

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Related Items (9)

Linear model IV estimation when instruments are many or weak ⋮ Second-order refinements for \(t\)-ratios with many instruments ⋮ Asymptotic expansions of the distributions of the estimates of coefficients in a simultaneous equation system ⋮ Some large-concentration-parameter asymptotics for the k-class estimators ⋮ On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments ⋮ 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 ⋮ Monitoring linearity of measurement gauges ⋮ Asymptotic properties of the maximum likelihood estimate in the first order autoregressive process

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