On the asymptotic optimality of the LIML estimator with possibly many instruments

DOI10.1016/j.jeconom.2009.12.001zbMath1400.62052OpenAlexW1982207278MaRDI QIDQ736512

Naoto Kunitomo, T. W. Anderson, Yukitoshi Matsushita

Publication date: 4 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.12.001

zbMATH Keywords

asymptotic optimalitymany instrumentslimited information maximum likelihoodmany weak instrumentssimultaneous equations systemstructural equation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Related Items (21)

Instrumental variable estimation of factor models with possibly many variables ⋮ An optimal modification of the LIML estimation for many instruments and persistent hetero\-sce\-dasticity ⋮ ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS ⋮ Joint inference based on Stein-type averaging estimators in the linear regression model ⋮ Second-order refinements for \(t\)-ratios with many instruments ⋮ A conditional linear combination test with many weak instruments ⋮ Instrumental variable analysis with censored data in the presence of many weak instruments: application to the effect of being sentenced to prison on time to employment ⋮ Regularized LIML for many instruments ⋮ Minimum distance approach to inference with many instruments ⋮ The limited information maximum likelihood approach to dynamic panel structural equation models ⋮ On the consistency of the LIML estimator of a spatial autoregressive model with many instruments ⋮ Regularizing Double Machine Learning in Partially Linear Endogenous Models ⋮ Bootstrap inference for instrumental variable models with many weak instruments ⋮ GMM estimation of social interaction models with centrality ⋮ On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments ⋮ Instrumental variable estimation in the presence of many moment conditions ⋮ Hypothesis testing in linear regression when \(k/n\) is large ⋮ Some properties of the LIML estimator in a dynamic panel structural equation ⋮ Hahn-Hausman test as a specification test ⋮ Robust estimation with many instruments ⋮ Jackknife instrumental variable estimation with heteroskedasticity

Cites Work

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• Estimating linear statistical relationships
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• MANY INSTRUMENTS ASYMPTOTIC APPROXIMATIONS UNDER NONNORMAL ERROR DISTRIBUTIONS
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• Choosing the Number of Instruments
• OPTIMAL INFERENCE WITH MANY INSTRUMENTS
• Instrumental variable estimation based on grouped data
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• 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

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