On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments

Author:

Anderson T.W.,Kunitomo Naoto,Matsushita Yukitoshi

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference39 articles.

1. Advanced Econometrics;Amemiya,1985

2. An asymptotic expansion of the distribution of the limited information maximum likelihood estimate of a coefficient in a simultaneous equation system;Anderson;Journal of the American Statistical Association,1974

3. Anderson, T.W., Kunitomo, N., 2007. On likelihood ratio tests of structural coefficients: Anderson–Rubin (1949) revisited. Discussion Paper CIRJE-F-499. Graduate School of Economics, University of Tokyo. http://www.e.u-tokyo.ac.jp/cirje/research/dp/2007.

4. Anderson, T.W., Kunitomo, N., Matsushita, Y., 2005. A new light from old wisdoms: alternative estimation methods of simultaneous equations and microeconometric models. Discussion Paper CIRJE-F-399. Graduate School of Economics, University of Tokyo.

5. On asymptotic optimality of the LIML estimator with possibly many instruments;Anderson;Journal of Econometrics,2010

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