The Exact Distribution of LIML: II

DOI10.2307/2526524MaRDI QIDQ3809045zbMATH OpenOpenAlexFDO

Authors Peter C. B. Phillips

Publication date 1985

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/d0663.pdf

zbMATH Keywords

differential operator calculusgeneral single- equation modelinvariant polynomialslimited information maximum likelihood (LIML) estimatormultiple matrix argumentsreduced form

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

(17)

• 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
• YET MORE ON THE EXACT PROPERTIES OF IV ESTIMATORS
• A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION
• COMPUTATIONALLY EFFICIENT RECURSIONS FOR TOP-ORDER INVARIANT POLYNOMIALS WITH APPLICATIONS
• The asymptotic distribution of the LIML estimator in a partially identified structural equation
• The Exact Distribution of LIML: I
• Relative error accurate statistic based on nonparametric likelihood
• Haavelmo's contributions to simultaneous-equations estimation
• Location properties of point estimators in linear instrumental variables and related models

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