A third order optimum property of the ML estimator in a linear functional relationship model and simultaneous equation system in econometrics
In this important paper the author shows that the maximum likelihood estimator and its modification in the linear functional relationship with incidental parameters are third-order asymptotically efficient among a class of almost median-unbiased and almost mean-unbiased estimators, respectively, in the large sample sense. This means that the limited information maximum likelihood estimator (LIML) in the simultaneous equation system is third-order asymptotically efficient when the number of excluded exogenous variables in a particular structural equation is growing along with the sample size. It implies that the LIML estimator has an optimum property when the system of structural equations is large.
- Third-Order Efficiency of the Extended Maximum Likelihood Estimators in a Simultaneous Equation System
- Behaviour of third order terms in quadratic approximations of LR- statistics in multivariate generalized linear models
- The M-estimator for functional linear regression model
- Optimal estimable parametric functions in a multivariate mixed linear model
- scientific article; zbMATH DE number 4096593
- scientific article; zbMATH DE number 3870424
- Maximum likelihood approach to parameter estimation for linear functional relationships
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- Best Nonlinear Three-Stage Least Squares Estimation of Certain Econometric Models
- A third-order optimum property of the maximum likelihood estimator
- An Asymptotic Expansion of the Distribution of the Limited Information Maximum Likelihood Estimate of a Coefficient in a Simultaneous Equation System
- Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
- Asymptotic efficiency of statistical estimators: concepts and higher order asymptotic efficiency
- 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
- Estimating linear statistical relationships
- Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator
- Evaluation of the Distribution Function of the Two-Stage Least Squares Estimate
- scientific article; zbMATH DE number 4024516 (Why is no real title available?)
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- Improving the Limited Information Maximum Likelihood Estimator When the Disturbances Are Small
- Second order efficiency of the MLE with respect to any bounded bowl- shaped loss function
- Some Properties of a Modification of the Limited Information Estimator
- Third-Order Efficiency of the Extended Maximum Likelihood Estimators in a Simultaneous Equation System
- Modified three-stage least squares estimator which is third-order efficient
- An optimal modification of the LIML estimation for many instruments and persistent hetero\-sce\-dasticity
- scientific article; zbMATH DE number 3900016 (Why is no real title available?)
- Third-Order Efficiency of the Extended Maximum Likelihood Estimators in a Simultaneous Equation System
- On the asymptotic optimality of the LIML estimator with possibly many instruments
- On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments
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