Asymptotic probability concentrations and finite sample properties of modified LIML estimators for equations with more than two endogeneous variables
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Publication:1584773
DOI10.1016/S0304-4076(99)00082-2zbMath0968.62086MaRDI QIDQ1584773
K. Rao Kadiyala, Dennis Oberhelman
Publication date: 17 September 2001
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(99)00082-2
tables; Monte Carlo; simultaneous equations models; asymptotic mean-squared error; asymptotic probability concentration; modified LIML; small sigma expansions
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Cites Work
- Optimizing in the class of Fuller modified limited information maximum likelihood estimators
- Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case
- The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
- Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator
- Some Properties of a Modification of the Limited Information Estimator
- Evaluation of the Distribution Function of the Two-Stage Least Squares Estimate
- Comparison of k-Class Estimators When the Disturbances Are Small
- Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations