APPROXIMATE DISTRIBUTIONS OF THE LIKELIHOOD RATIO STATISTIC IN A STRUCTURAL EQUATION WITH MANY INSTRUMENTS
APPROXIMATE DISTRIBUTIONS OF THE LIKELIHOOD RATIO STATISTIC IN A STRUCTURAL EQUATION WITH MANY INSTRUMENTS
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多工具结构方程中似然比统计量的近似分布
DOI：
10.14490/jjss.38.207
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发表时间：
2007
期刊：
影响因子：
--
通讯作者：
Yukitoshi Matsushita
中科院分区：
文献类型：
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作者：
Yukitoshi Matsushita
研究了工具变量个数较多时，结构型估计中有限信息极大似然（LIML）估计的似然比（LR）检验的性质.两种类型的渐近理论被开发来近似似然比（LR）统计量的分布在零假设H 0：λ A = λ A0：（大样本）渐近展开和大Kn渐近理论。基于这两个渐近性的两个修改的LR测试的大小比较与Moreira的条件似然比（RIO）测试和大K t-测试。
This paper studies the properties of Likelihood Ratio (LR) tests associated with the limited information maximum likelihood (LIML) estimators in a structural form estimation when the number of instrumental variables is large. Two types of asymptotic theories are developed to approximate the distribution of the likelihood ratio (LR) statistics under the null hypothesis H0 : ƒA = ƒA0: the (large sample) asymptotic expansion and the large-Kn asymptotic theory. The size comparison of two modified LR tests based on these two asymptotics is made with Moreira's conditional likelihood ratio (CLR) test and the large K t-test.
关于经验似然估计器和GMM估计器的有限样本分布
DOI：
--
发表时间：
2003
期刊：
CIRJE-F-200,Faculty of Economics,University of Tokyo
影响因子：
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作者：
Kunitomo;N.;Y.Matsushita
通讯作者：
Y.Matsushita