On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments
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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
- An Asymptotic Expansion of the Distribution of the Limited Information Maximum Likelihood Estimate of a Coefficient in a Simultaneous Equation System
- Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case
- Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
- 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
- Asymptotic expansions of the distributions of the estimates of coefficients in a simultaneous equation system
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- Consistent Estimation with a Large Number of Weak Instruments
- 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
- Empirical likelihood
- Empirical likelihood and general estimating equations
- 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
- Evaluation of the Distribution Function of the Two-Stage Least Squares Estimate
- Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- scientific article; zbMATH DE number 3900016 (Why is no real title available?)
- scientific article; zbMATH DE number 1735137 (Why is no real title available?)
- scientific article; zbMATH DE number 1898277 (Why is no real title available?)
- Instrumental Variables Regression with Weak Instruments
- Large Sample Properties of Generalized Method of Moments Estimators
- On the asymptotic optimality of the LIML estimator with possibly many instruments
- t Test in a Structural Equation
- The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
- The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
- The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables
- Third-Order Efficiency of the Extended Maximum Likelihood Estimators in a Simultaneous Equation System
Cited in
(13)- On the structure of IV estimands
- The limited information maximum likelihood approach to dynamic panel structural equation models
- Second-order refinements for \(t\)-ratios with many instruments
- Empirical evidence concerning the finite sample performance of EL-type structural equation estimation and inference methods
- ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
- Random Effects Estimators with many Instrumental Variables
- Bootstrap inference for instrumental variable models with many weak instruments
- Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*
- An asymptotically optimal two-sample instrumental variables estimation using many instruments
- Towards understanding the instrumental variables methods in biometrics and econometrics
- On the asymptotic optimality of the LIML estimator with possibly many instruments
- Editorial. Moment restriction-based econometric methods: an overview
- Instrumental variable estimation in the presence of many moment conditions
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