Improving the LIML Estimation with Many Instruments and Pers…
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- OpenAlex ID W2239645074
- Type Report
- Language EN
- Published 01 Jul 2008
- Volume CIRJE-F-576
- Source Institutional Repositories DataBase (IRD…
- Publisher National Institute of Informatics
- Added 24 Jun 2016
- Updated 26 Jul 2026
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Improving the LIML Estimation with Many Instruments and Persistent Heteroscedasticity
Report 2008 EN Green
We consider the estimation of coefficients of a structural equation with many instrumental variables in a simultaneous equation system. We propose a class of modifications of the limited information maximum likelihood (MLIML) estimator for improving its asymptotic properties as well as the small sample properties with many instruments and persistent heteroscedasticity. We show that the MLIML estim…
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1 authors| # | Author | Institutions | ORCID |
|---|---|---|---|
| 1 | Naoto Kunitomo Corresponding | — |
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