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Asymptotic probability concentrations and finite sample properties of modified LIML estimators for equations with more than two endogenous variables

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  • Oberhelman, Dennis
  • Rao Kadiyala, K.

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  • Oberhelman, Dennis & Rao Kadiyala, K., 2000. "Asymptotic probability concentrations and finite sample properties of modified LIML estimators for equations with more than two endogenous variables," Journal of Econometrics, Elsevier, vol. 98(1), pages 163-185, September.
    • Handle: RePEc:eee:econom:v:98:y:2000:i:1:p:163-185
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    References listed on IDEAS

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    1. Kadiyala, K. R. & Oberhelman, Dennis, 1992. "Optimizing in the class of Fuller modified limited information maximum likelihood estimators," Journal of Multivariate Analysis, Elsevier, vol. 43(2), pages 218-236, November.
    2. Phillips, P C B, 1980. "The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables," Econometrica, Econometric Society, vol. 48(4), pages 861-878, May.
    3. Phillips, P.C.B., 1983. "Exact small sample theory in the simultaneous equations model," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 8, pages 449-516, Elsevier.
    4. Kadane, Joseph B, 1971. "Comparison of k-Class Estimators when the Disturbances are Small," Econometrica, Econometric Society, vol. 39(5), pages 723-737, September.
    5. Anderson, T W & Kunitomo, Naoto & Sawa, Takamitsu, 1982. "Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator," Econometrica, Econometric Society, vol. 50(4), pages 1009-1027, July.
    6. Fuller, Wayne A, 1977. "Some Properties of a Modification of the Limited Information Estimator," Econometrica, Econometric Society, vol. 45(4), pages 939-953, May.
    7. Anderson, T. W. & Morimune, Kimio & Sawa, Takamitsu, 1983. "The numerical values of some key parameters in econometric models," Journal of Econometrics, Elsevier, vol. 21(2), pages 229-243, February.
    8. Anderson, T. W. & Kunitomo, Naoto & Morimune, Kimio, 1986. "Comparing Single-Equation Estimators in a Simultaneous Equation System," Econometric Theory, Cambridge University Press, vol. 2(1), pages 1-32, April.
    9. Mariano, Roberto S, 1982. "Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 23(3), pages 503-533, October.
    10. Anderson, T W & Sawa, Takamitsu, 1979. "Evaluation of the Distribution Function of the Two-Stage Least Squares Estimate," Econometrica, Econometric Society, vol. 47(1), pages 163-182, January.
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