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The Limited Information Maximum Likelihood Estimator as an Angle
http://hdl.handle.net/2261/25749
http://hdl.handle.net/2261/25749056801fe-edc3-4cef-8fc8-9b6fe6e27cd2
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | The Limited Information Maximum Likelihood Estimator as an Angle | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Structural equation | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | linear functional relationship | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | natural normalization | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | angle LIML | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | finite sample properties. | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Anderson, T. W.
× Anderson, T. W.× Naoto, Kunitomo× Yukitoshi, Matsushita |
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著者所属 | ||||||
著者所属 | Stanford University | |||||
著者所属 | ||||||
著者所属 | University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | When an econometric structural equation includes two endogenous variables and their coefficients are normalized so that their sum of squares is 1, it is natural to express them as the sine and cosine of an angle. The Limited Information Maximum Likelihood (LIML) estimator of this angle when the error covariance matrix is known has constant variance. Of all estimators with constant variance the LIML estimator minimizes the variance. Competing estimators, such as the Two-Stage Least Squares estimator, has much larger variance for some values of the parameter. The effect of weak instruments is studied. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-619, 発行日 2009-05 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf619ab.html |