Further consequences of viewing LIML as an iterated Aitken estimator.
From MaRDI portal
Publication:1586545
DOI10.1016/S0304-4076(99)00083-4zbMath1079.62555OpenAlexW2040385630WikidataQ126588396 ScholiaQ126588396MaRDI QIDQ1586545
Publication date: 2000
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(99)00083-4
2SLSIterated GLSLimited information\(\chi^2\) and Student-\(t\) distributionFinite sampleSimultaneity
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Initial conditions and moment restrictions in dynamic panel data models
- The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
- Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case
- Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator
- The Bias of Instrumental Variable Estimators
- On the Estimation of Triangular Structural Systems
- Evaluation of the Distribution Function of the Two-Stage Least Squares Estimate
- The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables