On the asymptotic optimality of the LIML estimator with possibly many instruments
On the asymptotic optimality of the LIML estimator with possibly many instruments
复制标题
DOI：
10.1016/j.jeconom.2009.12.001
复制
发表时间：
2010-08-01
影响因子：
6.3
通讯作者：
Matsushita, Yukitoshi
中科院分区：
文献类型：
--
作者：
Anderson, T. W.;Kunitomo, Naoto;Matsushita, Yukitoshi
本文研究了在有多个辅助变量的情况下，联立方程组中线性结构方程系数的估计问题。我们推导出一些渐近性质的有限信息最大似然（LIML）估计的工具的数量是大的，其中一些结果是新的，以及旧的，我们将它们与最近的一些研究结果。我们发现，当工具数目较大且扰动项不一定服从正态分布时，即对于最近被称为多工具和多弱工具的微观计量经济模型，LIML估计及其修正的极限分布的方差往往达到渐近下界。(C)2009 Elsevier B.V.保留所有权利。
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 as well as old, and we relate them to results in some recent studies. We have found that the variance of the limiting distribution 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 of some cases recently called many instruments and many weak instruments. (C) 2009 Elsevier B.V. All rights reserved.