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

DOI10.1016/0304-4076(82)90035-5zbMath0483.62010OpenAlexW2026126831MaRDI QIDQ1163307

Masanobu Taniguchi, Yasunori Fujikoshi, Naoto Kunitomo, Kimio Morimune

Publication date: 1982

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

Full work available at URL: https://doi.org/10.1016/0304-4076(82)90035-5

zbMATH Keywords

LIML estimatesTSLS estimates

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Related Items (11)

Contributions to multivariate analysis by Professor Yasunori Fujikoshi ⋮ Likelihood Ratio Processes under Nonstandard Settings ⋮ The bias of the ordinary least squares estimator in simultaneous equation models ⋮ Second-order refinements for \(t\)-ratios with many instruments ⋮ Dominance of double k-class estimators in simultaneous equations ⋮ On validity of the asymptotic expansion approach in contingent claim analysis ⋮ THE ASYMPTOTIC DISTRIBUTION OF THE LIML ESTIMATOR IN A PARTIALLY IDENTIFIED STRUCTURAL EQUATION ⋮ Asymptotic expansions of the distributions of the structural variance estimators in a simultaneous equations system ⋮ On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments ⋮ A third order optimum property of the ML estimator in a linear functional relationship model and simultaneous equation system in econometrics ⋮ Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations

Cites Work

• Unnamed Item
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• An Asymptotic Expansion of the Distribution of the Limited Information Maximum Likelihood Estimate of a Coefficient in a Simultaneous Equation System
• Distributions of Estimates of Coefficients of a Single Equation in a Simultaneous System and Their Asymptotic Expansions
• Gram-Charlier Approximations Applied to t Ratios of k-Class Estimators
• A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators
• An Asymptotic Expansion for the Distribution of a Statistic Admitting an Asymptotic Expansion
• Comparison of k-Class Estimators When the Disturbances Are Small

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