Second-order refinements for \(t\)-ratios with many instruments (Q2682953)

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Language	Label	Description	Also known as
English	Second-order refinements for \(t\)-ratios with many instruments	scientific article

Statements

scholarly article

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Second-order refinements for \(t\)-ratios with many instruments (English)

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Yukitoshi Matsushita

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Journal of Econometrics

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publication date

1 February 2023

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zbMATH Keywords

many instruments

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higher-order analysis

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\(t\)-ratio

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jeconom.2021.07.006

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

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On the asymptotic optimality of the LIML estimator with possibly many instruments

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On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments

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Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator

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Alternative Approximations to the Distributions of Instrumental Variable Estimators

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On the validity of the formal Edgeworth expansion

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ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS

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OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE

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Asymptotic expansions of the distributions of the estimates of coefficients in a simultaneous equation system

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Some Properties of a Modification of the Limited Information Estimator

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Estimation with weak instruments: Accuracy of higher‐order bias and MSE approximations

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Instrumental variable estimation with heteroskedasticity and many instruments

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Asymptotic Expansions of the Distributions of Estimators in a Linear Functional Relationship and Simultaneous Equations

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Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations

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Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size

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t Test in a Structural Equation

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A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators

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Linear Statistical Inference and its Applications

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Approximate Power Functions for Some Robust Tests of Regression Coefficients

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Gram-Charlier Approximations Applied to t Ratios of k-Class Estimators

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Finite Sample Econometrics

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MANY INSTRUMENTS ASYMPTOTIC APPROXIMATIONS UNDER NONNORMAL ERROR DISTRIBUTIONS

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Identifiers

10.1016/j.jeconom.2021.07.006

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2682953

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