Asymptotic probability concentrations and finite sample properties of modified LIML estimators for equations with more than two endogeneous variables
DOI10.1016/S0304-4076(99)00082-2zbMATH Open0968.62086OpenAlexW2102629354MaRDI QIDQ1584773FDOQ1584773
Authors: Dennis Oberhelman, K. Rao Kadiyala 
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
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tablesMonte Carlosimultaneous equations modelsasymptotic mean-squared errorasymptotic probability concentrationmodified LIMLsmall sigma expansions
Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)
Cites Work
- Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case
- 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
- Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
- The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
- Comparison of k-Class Estimators When the Disturbances Are Small
- Optimizing in the class of Fuller modified limited information maximum likelihood estimators
Cited In (10)
- An optimal modification of the LIML estimation for many instruments and persistent hetero\-sce\-dasticity
- The asymptotic distribution of the LIML estimator in a partially identified structural equation
- Estimation with weak instruments: Accuracy of higher‐order bias and MSE approximations
- Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
- Title not available (Why is that?)
- Two Modified FIML Estimators for use in Small Samples
- Asymptotic Expansions of the Distributions of the Test Statistics for Overidentifying Restrictions in a System of Simultaneous Equations
- Title not available (Why is that?)
- Further consequences of viewing LIML as an iterated Aitken estimator.
- Efficient estimation of limited dependent variable models with endogenous explanatory variables
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