The Exact Distribution of LIML: I

DOI10.2307/2648878zbMath0659.62059OpenAlexW4255541025MaRDI QIDQ3809044

Peter C. B. Phillips

Publication date: 1984

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d06/d0658.pdf

zbMATH Keywords

multivariate Cauchy distributioncentral Wishart matrixlimited information maximum likelihood (LIML) estimatorsmallest latent rootsknown error covariance matrixmatrix ratio of two independent Wishart matricessimultaneous equations econometric model

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20) Exact distribution theory in statistics (62E15)

Related Items (19)

Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction ⋮ EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY ⋮ Structural inference from reduced forms with many instruments ⋮ Conditional and unconditional statistical independence ⋮ Some consequences of model misspecification for \(t\) testing in a structural equation ⋮ INTEGRATED SCORE ESTIMATION ⋮ Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations ⋮ INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS ⋮ THE ASYMPTOTIC DISTRIBUTION OF THE LIML ESTIMATOR IN A PARTIALLY IDENTIFIED STRUCTURAL EQUATION ⋮ Regularizing Double Machine Learning in Partially Linear Endogenous Models ⋮ GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION ⋮ The exact distribution of exogenous variable coefficient estimators ⋮ YET MORE ON THE EXACT PROPERTIES OF IV ESTIMATORS ⋮ A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION ⋮ Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior ⋮ Location Properties of Point Estimators in Linear Instrumental Variables and Related Models ⋮ RELATIVE ERROR ACCURATE STATISTIC BASED ON NONPARAMETRIC LIKELIHOOD ⋮ Jeffreys prior analysis of the simultaneous equations model in the case with \(n+1\) endogenous variables. ⋮ PANEL STRUCTURAL MODELING WITH WEAK INSTRUMENTATION AND COVARIANCE RESTRICTIONS

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