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On the Asymptotic Optimality of the LIML Estimator with Possibly Many Instruments
http://hdl.handle.net/2261/18422
http://hdl.handle.net/2261/184228f369190-05d1-46a0-923b-cb664682ac86
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 | On the Asymptotic Optimality of the LIML Estimator with Possibly Many Instruments | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | JEL Classifcation : C13, C30 | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Structural Equation | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Simultaneous Equations System | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Many Instruments | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Limited | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Information Maximum Likelihood | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Asymptotic Optimality | |||||
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.× Kunitomo, Naoto× Matsushita, Yukitoshi |
|||||
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 | We consider the estimation of the coefficients of a linear structural equation in a simultaneous equation system when there are many instrumental variables. We derive some asymptotic properties of the limited information maximum likelihood (LIML) estimator when the number of instruments is large; some of these results are new and we relate them to results in some recent studies. We have found that the variance of the LIML estimator and its modifications often attain the asymptotic lower bound when the number of instruments is large and the disturbance terms are not necessarily normally distributed, that is, for the micro-econometric models with many instruments | |||||
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-542, 発行日 2008-01 |
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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/2008/2008cf542ab.html |