An optimal modification of the LIML estimation for many instruments and persistent hetero\-sce\-dasticity
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Cites work
- A third order optimum property of the ML estimator in a linear functional relationship model and simultaneous equation system in econometrics
- Alternative Approximations to the Distributions of Instrumental Variable Estimators
- Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
- Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments
- Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations
- Asymptotic Expansions of the Distributions of Estimators in a Linear Functional Relationship and Simultaneous Equations
- Consistent Estimation with a Large Number of Weak Instruments
- Empirical likelihood
- Empirical likelihood and general estimating equations
- Estimating linear statistical relationships
- 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
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 1735137 (Why is no real title available?)
- Instrumental variable estimation with heteroskedasticity and many instruments
- On the asymptotic optimality of the LIML estimator with possibly many instruments
- Some Properties of a Modification of the Limited Information Estimator
- The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
Cited in
(15)- Asymptotic probability concentrations and finite sample properties of modified LIML estimators for equations with more than two endogeneous variables
- Further consequences of viewing LIML as an iterated Aitken estimator.
- The limited information maximum likelihood approach to dynamic panel structural equation models
- Jackknife instrumental variable estimation with heteroskedasticity
- The asymptotic distribution of the LIML estimator in a partially identified structural equation
- Instrumental variable estimation with heteroskedasticity and many instruments
- Regularized LIML for many instruments
- Instrumental variable estimation of factor models with possibly many variables
- ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
- LIML in the static linear panel data model
- Joint inference based on Stein-type averaging estimators in the linear regression model
- An asymptotically optimal two-sample instrumental variables estimation using many instruments
- On the consistency of the LIML estimator of a spatial autoregressive model with many instruments
- On the asymptotic optimality of the LIML estimator with possibly many instruments
- On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments
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