On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments

DOI10.1016/J.JECONOM.2011.05.006zbMATH Open1441.62588OpenAlexW2037337792MaRDI QIDQ738046FDOQ738046

T. W. Anderson, Yukitoshi Matsushita, Naoto Kunitomo

Publication date: 12 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.05.006

Recommendations

• On the asymptotic optimality of the LIML estimator with possibly many instruments
• An optimal modification of the LIML estimation for many instruments and persistent hetero\-sce\-dasticity
• Random Effects Estimators with many Instrumental Variables
• Regularized LIML for many instruments
• Instrumental variable estimation with heteroskedasticity and many instruments

zbMATH Keywords

empirical likelihoodlimited information maximum likelihoodGMMfinite sample propertiesnonlinear LIMLsimultaneous equations with many instruments

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Instrumental Variables Regression with Weak Instruments
• Empirical likelihood and general estimating equations
• Empirical likelihood
• Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Title not available (Why is that?)
• Consistent Estimation with a Large Number of Weak Instruments
• Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case
• Third-Order Efficiency of the Extended Maximum Likelihood Estimators in a Simultaneous Equation System
• Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator
• Evaluation of the Distribution Function of the Two-Stage Least Squares Estimate
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• On the asymptotic optimality of the LIML estimator with possibly many instruments
• Asymptotic Expansions of the Distributions of Estimators in a Linear Functional Relationship and Simultaneous Equations
• Title not available (Why is that?)
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables
• The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
• Distributions of Estimates of Coefficients of a Single Equation in a Simultaneous System and Their Asymptotic Expansions
• Empirical evidence concerning the finite sample performance of EL-type structural equation estimation and inference methods
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• Title not available (Why is that?)
• Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator
• Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations
• Asymptotic expansions of the distributions of the estimates of coefficients in a simultaneous equation system
• An Asymptotic Expansion of the Distribution of the Limited Information Maximum Likelihood Estimate of a Coefficient in a Simultaneous Equation System
• t Test in a Structural Equation
• A third order optimum property of the ML estimator in a linear functional relationship model and simultaneous equation system in econometrics

Cited In (9)

• Random Effects Estimators with many Instrumental Variables
• Bootstrap inference for instrumental variable models with many weak instruments
• Editorial. Moment restriction-based econometric methods: an overview
• Empirical evidence concerning the finite sample performance of EL-type structural equation estimation and inference methods
• Second-order refinements for \(t\)-ratios with many instruments
• The limited information maximum likelihood approach to dynamic panel structural equation models
• Instrumental variable estimation in the presence of many moment conditions
• ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
• Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*

This page was built for publication: On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q738046)