A third order optimum property of the ML estimator in a linear functional relationship model and simultaneous equation system in econometrics

DOI10.1007/BF02491491zbMath0722.62071OpenAlexW2068927130MaRDI QIDQ756349

Naoto Kunitomo

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1007/bf02491491

zbMATH Keywords

maximum likelihood estimatorlimited information maximum likelihood estimatorlinear functional relationshipalmost mean-unbiased estimatorsalmost median-unbiasedthird-order asymptotically efficient

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear inference, regression (62J99)

Related Items (3)

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

Cites Work

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• Some Properties of a Modification of the Limited Information Estimator
• Improving the Limited Information Maximum Likelihood Estimator When the Disturbances Are Small
• Evaluation of the Distribution Function of the Two-Stage Least Squares Estimate

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