The LIML estimator has finite moments!

DOI10.1016/j.jeconom.2010.02.004zbMath1400.62112OpenAlexW1991757776MaRDI QIDQ736531

T. W. Anderson

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.02.004

zbMATH Keywords

normalizationlimited information maximum likelihoodbounded moments

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Related Items (3)

Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models ⋮ Regularized LIML for many instruments ⋮ HAAVELMO’S CONTRIBUTIONS TO SIMULTANEOUS-EQUATIONS ESTIMATION

Cites Work

• Best invariant estimation of a direction parameter
• Some Properties of a Modification of the Limited Information Estimator
• The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Unnamed Item

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