The Exact Distribution of LIML: I

DOI10.2307/2648878MaRDI QIDQ3809044zbMATH OpenOpenAlexFDO

Authors 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

central Wishart matrixknown error covariance matrixlimited information maximum likelihood (LIML) estimatormatrix ratio of two independent Wishart matricesmultivariate Cauchy distributionsimultaneous equations econometric modelsmallest latent roots

Mathematics Subject Classification ID

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

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Cited in

(23)

• Conditional and unconditional statistical independence
• Regularizing double machine learning in partially linear endogenous models
• Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
• Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior
• Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables.
• Some consequences of model misspecification for \(t\) testing in a structural equation
• Structural inference from reduced forms with many instruments
• Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
• Panel structural modeling with weak instrumentation and covariance restrictions
• EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY
• Asymptotic Expansions of the Distributions of the Test Statistics for Overidentifying Restrictions in a System of Simultaneous Equations
• The LIML and Related Estimators of an Equation with Moving Average Disturbances
• GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
• YET MORE ON THE EXACT PROPERTIES OF IV ESTIMATORS
• A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION
• The asymptotic distribution of the LIML estimator in a partially identified structural equation
• The Exact Distribution of LIML: II
• Relative error accurate statistic based on nonparametric likelihood
• INTEGRATED SCORE ESTIMATION
• INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
• Location properties of point estimators in linear instrumental variables and related models
• The LIML estimator has finite moments!
• The exact distribution of exogenous variable coefficient estimators

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