Origins of the limited information maximum likelihood and two-stage least squares estimators

DOI10.1016/j.jeconom.2004.09.012zbMath1334.62002MaRDI QIDQ262789

T. W. Anderson

Publication date: 30 March 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.09.012

zbMATH Keywords

asymptotic distributions; limited information maximum likelihood estimator; two-stage least squares estimator

Mathematics Subject Classification ID

62J05: Linear regression; mixed models

62F10: Point estimation

01A60: History of mathematics in the 20th century

62-03: History of statistics

Related Items

MY REMINISCENCES OF TRYGVE HAAVELMO AT THE COWLES COMMISSION, Normalization in Econometrics, Regularizing Double Machine Learning in Partially Linear Endogenous Models, Reduced rank regression for blocks of simultaneous equations, Panel data models with multiple time-varying individual effects, On the asymptotic optimality of the LIML estimator with possibly many instruments, Double learning or double blinding: an investigation of vendor private information acquisition and consumer learning via online reviews, Jackknife instrumental variable estimation with heteroskedasticity

Cites Work

• A Generalized Classical Method of Linear Estimation of Coefficients in a Structural Equation
• The Estimation of Economic Relationships using Instrumental Variables
• Asymptotic Theory for Principal Component Analysis
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Unnamed Item
• Unnamed Item