Further consequences of viewing LIML as an iterated Aitken estimator.

DOI10.1016/S0304-4076(99)00083-4zbMATH Open1079.62555OpenAlexW2040385630WikidataQ126588396 ScholiaQ126588396MaRDI QIDQ1586545FDOQ1586545

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

Recommendations

• The asymptotic equivalence between the iterated improved 2sls estimator and the 3sls estimator
• On the asymptotic optimality of the LIML estimator with possibly many instruments
• The LIML estimator has finite moments!
• Asymptotic probability concentrations and finite sample properties of modified LIML estimators for equations with more than two endogeneous variables
• An optimal modification of the LIML estimation for many instruments and persistent hetero\-sce\-dasticity

zbMATH Keywords

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• The Bias of Instrumental Variable Estimators
• Title not available (Why is that?)
• Initial conditions and moment restrictions in dynamic panel data models
• 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
• Title not available (Why is that?)
• Title not available (Why is that?)
• The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables
• On the Estimation of Triangular Structural Systems

This page was built for publication: Further consequences of viewing LIML as an iterated Aitken estimator.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1586545)