Optimizing in the class of Fuller modified limited information maximum likelihood estimators

DOI10.1016/0047-259X(92)90035-EMaRDI QIDQ1206451zbMATH OpenFDO

Authors K. R. Kadiyala, Dennis Oberhelman

Publication date 1 April 1993

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

simulation studyfinite momentslimited information maximum likelihoodsimultaneous equations\(k\)-class estimatorsasymptotic mean squared errorAsymptotic biasgeneral class of Fuller modified maximum likelihood estimatorssmall-\(\sigma\) expansions

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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Cites work

• Comparison of k-Class Estimators When the Disturbances Are Small
• Double k-Class Estimators of Parameters in Simultaneous Equations and Their Small Sample Properties
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator
• Handbook of econometrics. Volume I
• Some Properties of a Modification of the Limited Information Estimator
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• The Existence of Moments of k-Class Estimators
• Third-Order Efficiency of the Extended Maximum Likelihood Estimators in a Simultaneous Equation System

Cited in

(4)

• scientific article; zbMATH DE number 3936348 (Why is no real title available?)
• Asymptotic probability concentrations and finite sample properties of modified LIML estimators for equations with more than two endogeneous variables
• An expository note on the existence of moments of Fuller and HFUL estimators
• Two Modified FIML Estimators for use in Small Samples

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