Search Results - subject:"LIML estimator"

Instrumental variables estimation and inference in the presence of many exogenous regressors

Anatolyev, Stanislav - Center for Economic and Financial Research (CEFIR), New … - 2012

instruments are many, the LIML estimator remains consistent, but the presence of many exogenous regressors changes its asymptotic …

Persistent link: https://www.econbiz.de/10008871070

Subset hypotheses testing and instrument exclusion in the linear IV regression

Doko Tchatoka, Firmin - Volkswirtschaftliche Fakultät, … - 2010

analysis of the asymptotic distributions of the LIML estimator and the plug-in based statistics when potential instrument are … identification holds, the asymptotic distribution of the LIML estimator of the identified linear combination is no longer a Gaussian … distributions of the plug-in based subset statistics that exploit the LIML estimator are modified in a way that could lead to size …

Persistent link: https://www.econbiz.de/10011107656

The Asymptotic distribution of the LIML Estimator in a Partially Identified Structural Equation

Forchini, Giovanni - Department of Econometrics and Business Statistics, … - 2006

We derive general formulae for the asymptotic distribution of the LIML estimator for the coefficients of both …

Persistent link: https://www.econbiz.de/10005427618

Implementing tests with correct size in the simultaneous equations model

Moreira, Marcelo J.; Poi, Brian P. - In: Stata Journal 3 (2003) 1, pp. 57-70

In this paper, we propose a fix to the size distortions of tests for structural parameters in the simultaneous equations model by computing critical value functions based on the conditional distribution of test statistics. The conditional tests can then be used to construct informative...

Persistent link: https://www.econbiz.de/10005568806