On the asymptotic optimality of the LIML estimator with possibly many instruments

Author:

Anderson T.W.,Kunitomo Naoto,Matsushita Yukitoshi

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference37 articles.

1. Estimation of linear functional relationships: Approximate distributions and connections to simultaneous equations in econometrics;Anderson;Journal of the Royal Statistical Society, B,1976

2. Estimating linear statistical relationships;Anderson;Annals of Statistics,1984

3. An Introduction to Multivariate Statistical Analysis;Anderson,2003

4. Origins of the limited information maximum likelihood and two-stage least squares estimators;Anderson;Journal of Econometrics,2005

5. Asymptotic distributions of regression and autoregression coefficients with martingale difference disturbances;Anderson;Journal of Multivariate Analysis,1992

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