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  • Search: subject:"Estimation of structural equation"
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AOM-LIML 1 Asymptotic optimality 1 Estimating equation estimation 1 Estimation of structural equation 1 Many instruments 1 Persistent heteroscedasticity 1 Reduced rank regression 1
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Kunitomo, Naoto 1
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Annals of the Institute of Statistical Mathematics 1
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An optimal modification of the LIML estimation for many instruments and persistent heteroscedasticity
Kunitomo, Naoto - In: Annals of the Institute of Statistical Mathematics 64 (2012) 5, pp. 881-910
We consider the estimation of coefficients of a structural equation with many instrumental variables in a simultaneous equation system. It is mathematically equivalent to the estimating equations estimation or a reduced rank regression in the statistical multivariate linear models when the...
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