Further consequences of viewing LIML as an iterated Aitken estimator.

DOI10.1016/S0304-4076(99)00083-4MaRDI QIDQ1586545zbMATH OpenOpenAlexWikidataFDO

Authors Chuanming Gao, Kajal Lahiri

Publication date 2000

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

Full work available at URL https://doi.org/10.1016/s0304-4076(99)00083-4

zbMATH Keywords

2SLSIterated GLSLimited information\(\chi^2\) and Student-\(t\) distributionFinite sampleSimultaneity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 3874460 (Why is no real title available?)
• scientific article; zbMATH DE number 3876450 (Why is no real title available?)
• scientific article; zbMATH DE number 192992 (Why is no real title available?)
• Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case
• Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator
• Evaluation of the Distribution Function of the Two-Stage Least Squares Estimate
• Initial conditions and moment restrictions in dynamic panel data models
• On the Estimation of Triangular Structural Systems
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• The Bias of Instrumental Variable Estimators
• The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables

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