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Journal of the American Statistical Association Volume 73, 1978 - Issue 364
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Theory and Method

Improving the Limited Information Maximum Likelihood Estimator When the Disturbances are Small

Kimio Morimune Institute of Economic Research, Kyoto University, Sakyoku, Kyoto, Japan
Pages 867-871 | Received 01 Jun 1977, Published online: 05 Apr 2012

References

  • Anderson , T. W. 1974 . “An Asymptotic Expansion of the Distribution of the Limited Information Maximum Likelihood Estimate of a Coefficient in a Simultaneous Equation System,” . Journal of the American Statistical Association , 69 : 565 – 573 .
  • Anderson , T. W. 1977 . “Asymptotic Expansions of the Distributions of Estimates in Simultaneous Equations for Alternative Parameter Sequences,” . Econometrica , 45 : 509 – 518 .
  • Rubin , Herman . 1949 . “Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations,” . Annals of Mathematical Statistics , 20 : 46 – 63 .
  • Sawa , Takamitsu . 1973 . “Distributions of Estimates of Coefficients of a Single Equation in a Simultaneous System and Their Asymptotic Expansions,” . Econometrica , 41 : 683 – 714 .
  • Sawa , Takamitsu . 1978 . “Numerical Computations of the Exact and Approximate Distribution of Two-Stage Least Squares Estimate,” . Econometrica , forthcoming
  • Basmann , R. L. 1957 . “A Generalized Classical Method of Linear Estimation of Coefficients in a Structural Equation,” . Econometrica , 25 : 77 – 83 .
  • Basmann , R. L. 1958 . “An Experimental Investigation of Some Small-Sample Properties of (GCL) Estimators of Structural Equations: Some Preliminary Results,” , Richland , Washington : General Electric Company, Hanford Laboratories Operation .
  • Kadane , Joseph B. 1971 . “Comparison of k-class Estimators when the Disturbances are Small,” . Econometrica , 39 : 723 – 737 .
  • Mariano , Roberto S. and Sawa , Takamitsu . 1972 . “The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables,” . Journal of the American Statistical Association , 67 : 159 – 163 .
  • Nagar , A. L. 1959 . “The Bias and Moment Matrix of the General k-class Estimators of the Parameters in Simultaneous Equations,” . Econometrica , 27 : 575 – 595 .
  • Sawa , Takamitsu . 1969 . “The Exact Sampling Distribution of Ordinary Least Squares and Two-Stage Least Squares Estimators,” . Journal of the American Statistical Association , 64 : 923 – 937 .
  • Sawa , Takamitsu . 1973 . “Almost Unbiased Estimator in Simultaneous Equations Systems,” . International Economic Review , 14 : 97 – 106 .
  • Theil , H. 1958 . Economic Forecasts and Policy , Amsterdam : North-Holland Publishing Co. .

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