Asymptotic probability concentrations and finite sample properties of modified LIML estimators for equations with more than two endogeneous variables

DOI10.1016/S0304-4076(99)00082-2MaRDI QIDQ1584773zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

tablesMonte Carlosimultaneous equations modelsasymptotic mean-squared errorasymptotic probability concentrationmodified LIMLsmall sigma expansions

Mathematics Subject Classification ID

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

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Cites work

• Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case
• 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
• Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator
• Evaluation of the Distribution Function of the Two-Stage Least Squares Estimate
• Optimizing in the class of Fuller modified limited information maximum likelihood estimators
• Some Properties of a Modification of the Limited Information Estimator
• The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables

Cited in

(11)

• scientific article; zbMATH DE number 3936348 (Why is no real title available?)
• Further consequences of viewing LIML as an iterated Aitken estimator.
• Estimation with weak instruments: Accuracy of higher‐order bias and MSE approximations
• Asymptotic Expansions of the Distributions of the Test Statistics for Overidentifying Restrictions in a System of Simultaneous Equations
• Two Modified FIML Estimators for use in Small Samples
• Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
• 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
• On the asymptotic optimality of the LIML estimator with possibly many instruments
• scientific article; zbMATH DE number 3936349 (Why is no real title available?)
• Efficient estimation of limited dependent variable models with endogenous explanatory variables

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