A third order optimum property of the ML estimator in a linear functional relationship model and simultaneous equation system in econometrics (Q756349)

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A third order optimum property of the ML estimator in a linear functional relationship model and simultaneous equation system in econometrics
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    A third order optimum property of the ML estimator in a linear functional relationship model and simultaneous equation system in econometrics (English)
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    1987
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    In this important paper the author shows that the maximum likelihood estimator and its modification in the linear functional relationship with incidental parameters are third-order asymptotically efficient among a class of almost median-unbiased and almost mean-unbiased estimators, respectively, in the large sample sense. This means that the limited information maximum likelihood estimator (LIML) in the simultaneous equation system is third-order asymptotically efficient when the number of excluded exogenous variables in a particular structural equation is growing along with the sample size. It implies that the LIML estimator has an optimum property when the system of structural equations is large.
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    maximum likelihood estimator
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    linear functional relationship
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    third-order asymptotically efficient
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    almost median-unbiased
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    almost mean-unbiased estimators
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    limited information maximum likelihood estimator
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