Search Results

An optimal modification of the LIML estimation for many instruments and persistent heteroscedasticity,
Naoto Kunitomo, in Annals of the Institute of Statistical Mathematics (2012)
Keywords: Estimation of structural equation, Estimating equation estimation, Reduced rank regression, Many instruments, Persistent heteroscedasticity, AOM-LIML, Asymptotic optimality,

XTIVREG2: Stata module to perform extended IV/2SLS, GMM and AC/HAC, LIML and k-class regression for panel data models,
Mark Schaffer, from Boston College Department of Economics (2020)
Keywords: instrumental variables, panel data, fixed effects, first differences, Sargan test, robust estimation, orthogonality, GMM, Hansen's J, heteroskedastic OLS, HAC, bandwidth, k-class estimator, LIML

XTIVREG28: Stata module to perform extended IV/2SLS, GMM and AC/HAC, LIML and k-class regression for panel data models (version 8),
Mark Schaffer, from Boston College Department of Economics (2012)
Keywords: instrumental variables, panel data, fixed effects, first differences, Sargan test, robust estimation, orthogonality, GMM, Hansen's J, heteroskedastic OLS, HAC, bandwidth, k-class estimator, LIML

Varieties of the LIML Estimator,
D.S.G. Pollock, from Queen Mary University of London, School of Economics and Finance (1980)

Varieties of the LIML Estimator,
David Pollock, in Australian Economic Papers (1983)

The Exact Distribution of LIML: II,
Peter Phillips, in International Economic Review (1985)

The Exact Distribution of LIML: I,
Peter Phillips, in International Economic Review (1984)

The Exact Distribution of LIML: II,
Peter Phillips, from Cowles Foundation for Research in Economics, Yale University (1983)

The Exact Distribution of LIML: I,
Peter Phillips, from Cowles Foundation for Research in Economics, Yale University (1982)

Parameter orthogonalization and Bayesian inference with many instruments,
Jinyong Hahn and Karsten Hansen, in Economics Letters (2011)
Keywords: Orthogonalization LIML Many instruments

HFUL_HLIM: Stata module for heteroskedasticity-robust version of the Fuller estimator and jackknife version of the limited-information maximum likelihood estimator,
Xiduo Chen, Tiemen Wouterson, Pierangelo De Pace and John Chao, from Boston College Department of Economics (2022)
Keywords: robust, Fuller, LIML,

LIML: LIML Estimation for the Consumption Equation of Klein's Model I,
Shazam, from SHAZAM Econometrics, Statistics and Analytics Software

Further evidence on LIML/ME estimates,
James F. Meisner, in Economics Letters (1980)

The LIML estimator has finite moments!,
T.W. Anderson, in Journal of Econometrics (2010)
Keywords: Limited Information Maximum Likelihood Bounded moments Normalization

The Bias of the Modified Limited Information Maximum Likelihood Estimator (MLIML) in Static Simultaneous Equation Models,
Gareth Liu-Evans and Garry DA Phillips, from University of Liverpool, Department of Economics (2023)
Keywords: LIML, Modified LIML, 2SLS, bias approximation, bias correction

Simple many-instruments robust standard errors through concentrated instrumental variables,
Paul Bekker and Tom Wansbeek, in Economics Letters (2016)
Keywords: LIML; Weak instruments; Concentrated instruments;

TSLS and LIML Estimators in Panels with Unobserved Shocks,
Giovanni Forchini, Bin Jiang and Bin Peng, in Econometrics (2018)
Keywords: two-stage least squares; limited information maximum likelihood; common shocks

The Doubly Filtered LIML Estimator to Structural Panel Data,
Kentaro Akashi, in Gakushuin Economic Papers (2020)

Improving the Projection Matrix of the Doubly Filtered LIML Estimator,
Kentaro Akashi, in Gakushuin Economic Papers (2021)

On the asymptotic optimality of the LIML estimator with possibly many instruments,
T.W. Anderson, Naoto Kunitomo and Yukitoshi Matsushita, in Journal of Econometrics (2010)
Keywords: Structural equation Simultaneous equations system Many instruments Many weak instruments Limited information maximum likelihood Asymptotic optimality

Some consequences of viewing LIML as an iterated Aitken estimator,
Adrian Pagan, in Economics Letters (1979)

LIML in the static linear panel data model,
Tom Wansbeek and Dennis Prak, in Econometric Reviews (2017)

LIML estimation of import demand and export supply elasticities,
Vahagn Galstyan, in Applied Economics (2018)

Further consequences of viewing LIML as an iterated Aitken estimator,
Chuanming Gao and Kajal Lahiri, in Journal of Econometrics (2000)

The LIML and Related Estimators of an Equation with Moving Average Disturbances,
Anthony Hall and Adrian Pagan, in International Economic Review (1981)

On the Asymptotic Optimality of the LIML Estimator with Possibly Many Instruments,
T. W. Anderson, Naoto Kunitomo and Yukitoshi Matsushita, from CIRJE, Faculty of Economics, University of Tokyo (2008)

Asymptotic variance under many instruments: Numerical computations,
Albert Abutaliev and Stanislav Anatolyev, in Economics Letters (2013)
Keywords: Many instruments; Asymptotic variance; LIML; Non-normality;

Bootstrap-based Selection for Instrumental Variables Model,
Wenjie Wang and Qingfeng Liu, in Economics Bulletin (2015)
Keywords: Instrument selection, Many instruments, Bootstrap, TSLS, LIML

Shrinkage methods for instrumental variable estimation,
Ryo Okui, from Econometric Society (2004)
Keywords: TSLS, LIML, shrinkage estimator, instrumental variables

Instrumental variable estimation in the presence of many moment conditions,
Ryo Okui, in Journal of Econometrics (2011)
Keywords: TSLS; LIML; Shrinkage estimator; Instrumental variables;

Efficient estimation with many weak instruments using regularization techniques,
Guy Tchuente and Marine Carrasco, from CIRANO (2013)
Keywords: Many weak instruments, LIML, 2SLS, regularization methods,

Efficient estimation with many weak instruments using regularization techniques,
Marine Carrasco and Guy Tchuente, from School of Economics, University of Kent (2015)
Keywords: many weak instruments; LIML; 2SLS; regularization methods

THE ASYMPTOTIC DISTRIBUTION OF THE LIML ESTIMATOR IN A PARTIALLY IDENTIFIED STRUCTURAL EQUATION,
Giovanni Forchini, in Econometric Theory (2010)

The LIML Method to Structural Long Panel Data: Regression Analysis,
Kentaro Akashi, in Gakushuin Economic Papers (2020)

The LIML Estimator of Dynamic Structural Panel under Many Instruments,
Kentaro Akashi, in Gakushuin Economic Papers (2021)

The Asymptotic Covariance Matrix of the LIML Estimator of Subsystems of a Simultaneous-Equation Model,
D.S.G. Pollock, from Queen Mary University of London, School of Economics and Finance (1982)

On the LIML estimation of a structural equation by an iterative generalized least squares method,
N. S. Revankar, in Economics Letters (1981)

On the consistency of the LIML estimator of a spatial autoregressive model with many instruments,
Xiaodong Liu, in Economics Letters (2012)
Keywords: Limited-information maximum likelihood; Spatial autoregressive models; Many instruments;

The unconditional distributions of the OLS, TSLS and LIML estimators in a simple structural equations model,
Giovanni Forchini and Bin Jiang, in Econometric Reviews (2019)

Small Sample Properties of LIML and Jackknife IV Estimators: Experiments with Weak Instruments,
Sören Blomquist and Matz Dahlberg, in Journal of Applied Econometrics (1999)

On the Exact Distribution of LIML (revised and extended, see CFDP 658),
Peter Phillips, from Cowles Foundation for Research in Economics, Yale University (1982)

An Optimal Modification of the LIML Estimation for Many Instruments and Persistent Heteroscedasticity,
Naoto Kunitomo, from CIRJE, Faculty of Economics, University of Tokyo (2008)

Some Properties of the LIML Estimator in a Dynamic Panel Structural Equation,
Kentaro Akashi and Naoto Kunitomo, from CIRJE, Faculty of Economics, University of Tokyo (2010)

An Aysmptotically Optimal Modification of the Panel LIML Estimation for Individual Heteroscedasticity,
Naoto Kunitomo and Kentaro Akashi, from CIRJE, Faculty of Economics, University of Tokyo (2010)

On A Third Order Optimum Property of The LIML Estimator When the Sample Size is Large,
Naoto Kunitomo, from Northwestern University, Center for Mathematical Studies in Economics and Management Science (1981)

Bayesian and classical approaches to instrumental variable regression,
Frank Kleibergen and Eric Zivot, from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1998)
Keywords: LIML, bayesian approaches, classical approaches, instrumental variable regression

Jackknife instrumental variables estimation in Stata,
Brian Poi, in Stata Journal (2006)
Keywords: jive, 2SLS, LIML, JIVE, instrumental variables, endogeneity, weak instruments

The Case Against Jive,
James MacKinnon and Russell Davidson, from Economics Department, Queen's University (2004)
Keywords: two-stage least squares, LIML, JIVE, instrumental variables, weak instruments

Bootstrap Confidence Sets With Weak Instruments,
James MacKinnon and Russell Davidson, from Economics Department, Queen's University (2012)
Keywords: weak instruments, bootstrap, confidence sets, CLR test, LIML

Subset hypotheses testing and instrument exclusion in the linear IV regression,
Firmin Doko Tchatoka, from University Library of Munich, Germany (2012)
Keywords: Instrument exclusion, robust subset tests, LIML estimator, consistency, size distortions

Bootstrap inference for instrumental variable models with many weak instruments,
Wenjie Wang and Maximilien Kaffo, in Journal of Econometrics (2016)
Keywords: Bootstrap; Many instruments; Weak instruments; LIML; FULL; Corrected standard error;

The Distribution of FIML in the Leading Case,
Peter Phillips, from Cowles Foundation for Research in Economics, Yale University (1985)
Keywords: Distribution theory, Stiefel manifold, invariant measure, FIML, LIML

Globally flexible functional forms: The neural distance function,
Panayotis Michaelides, Angelos Vouldis and Mike Tsionas, in European Journal of Operational Research (2010)
Keywords: Output distance function Translog Technical efficiency ANN LIML

LMNWHITE2: Stata Module to Compute 2SLS-IV White IM Non Normality Test,
Emad Shehata and Sahra Mickaiel, from Boston College Department of Economics (2016)
Keywords: Regression, 2SLS, LIML, MELO, GMM, K-CLASS, Two-Stage Least Squares (2SLS), Limited-Information Maximum Likelihood (LIML), Minimum Expected Loss (MELO), Fuller k-Class LIML, Theil K-Class LIML, Generalized Method of Moments (GMM), Non Normality, White Test

LMNAD2: Stata Module to Compute 2SLS-IV Non Normality Anderson-Darling Test,
Emad Shehata and Sahra Mickaiel, from Boston College Department of Economics (2016)
Keywords: Regression, 2SLS, LIML, MELO, GMM, K-CLASS, Two-Stage Least Squares (2SLS), Limited-Information Maximum Likelihood (LIML), Minimum Expected Loss (MELO), Fuller k-Class LIML, Theil K-Class LIML, Generalized Method of Moments (GMM), Non Normality, Anderson-Darling Test

LMABPG2: Stata Module to Compute 2SLS-IV Autocorrelation Breusch-Pagan-Godfrey Test at Higher Order AR(p),
Emad Shehata and Sahra Mickaiel, from Boston College Department of Economics (2016)
Keywords: Regression, 2SLS, LIML, MELO, GMM, K-CLASS, Two-Stage Least Squares (2SLS), Limited-Information Maximum Likelihood (LIML), Minimum Expected Loss (MELO), Fuller k-Class LIML, Theil K-Class LIML, Generalized Method of Moments (GMM), Autocorrelation, Breusch-Pagan-Godfrey Test

LMNGRY2: Stata Module to Compute 2SLS-IV Non Normality Geary Runs Test,
Emad Shehata and Sahra Mickaiel, from Boston College Department of Economics (2015)
Keywords: Regression, 2SLS, LIML, MELO, GMM, K-CLASS, Two-Stage Least Squares (2SLS), Limited-Information Maximum Likelihood (LIML), Minimum Expected Loss (MELO), Fuller k-Class LIML, Theil K-Class LIML, Generalized Method of Moments (GMM), Non Normality, Geary Test, Runs Test

LMHHARV2: Stata Module to Compute 2SLS-IV Heteroscedasticity Harvey Test,
Emad Shehata and Sahra Mickaiel, from Boston College Department of Economics (2015)
Keywords: Regression, 2SLS, LIML, MELO, GMM, K-CLASS, Two-Stage Least Squares (2SLS), Limited-Information Maximum Likelihood (LIML), Minimum Expected Loss (MELO), Fuller k-Class LIML, Theil K-Class LIML, Generalized Method of Moments (GMM), Heteroscedasticity, Harvey Test

LMHGL2: Stata Module to Compute 2SLS-IV Heteroscedasticity Glejser Test,
Emad Shehata and Sahra Mickaiel, from Boston College Department of Economics (2015)
Keywords: Regression, 2SLS, LIML, MELO, GMM, K-CLASS, Two-Stage Least Squares (2SLS), Limited-Information Maximum Likelihood (LIML), Minimum Expected Loss (MELO), Fuller k-Class LIML, Theil K-Class LIML, Generalized Method of Moments (GMM), Heteroscedasticity, Glejser Test

LMHCW2: Stata Module to Compute 2SLS-IV Heteroscedasticity Cook-Weisberg Test,
Emad Shehata and Sahra Mickaiel, from Boston College Department of Economics (2015)
Keywords: Regression, 2SLS, LIML, MELO, GMM, K-CLASS, Two-Stage Least Squares (2SLS), Limited-Information Maximum Likelihood (LIML), Minimum Expected Loss (MELO), Fuller k-Class LIML, Theil K-Class LIML, Generalized Method of Moments (GMM), Heteroscedasticity, Cook-Weisberg Test, King Test

LMHARCH2: Stata Module to Compute 2SLS-IV Heteroscedasticity Engle (ARCH) Test,
Emad Shehata and Sahra Mickaiel, from Boston College Department of Economics (2015)
Keywords: Regression, 2SLS, LIML, MELO, GMM, K-CLASS, Two-Stage Least Squares (2SLS), Limited-Information Maximum Likelihood (LIML), Minimum Expected Loss (MELO), Fuller k-Class LIML, Theil K-Class LIML, Generalized Method of Moments (GMM), Heteroscedasticity, Engle Test

LMAVON2: Stata Module to Compute 2SLS-IV Autocorrelation Von Neumann Ratio Test at Higher Order AR(p),
Emad Shehata and Sahra Mickaiel, from Boston College Department of Economics (2015)
Keywords: Regression, 2SLS, KW: LIML, MELO, GMM, K-CLASS, Two-Stage Least Squares (2SLS), Limited-Information Maximum Likelihood (LIML), Minimum Expected Loss (MELO), Fuller k-Class LIML, Theil K-Class LIML, Generalized Method of Moments (GMM), Autocorrelation, Von Neumann Ratio Test

LMNDP2: Stata module to compute 2SLS-IV Non Normality D'Agostino-Pearson Test,
Emad Shehata and Sahra Mickaiel, from Boston College Department of Economics (2015)
Keywords: Regression, 2SLS, LIML, MELO, GMM, K-CLASS, Two-Stage Least Squares (2SLS), Limited-Information Maximum Likelihood (LIML), Minimum Expected Loss (MELO), Fuller k-Class LIML, Theil K-Class LIML, Generalized Method of Moments (GMM), Non Normality, D'Agostino-Pearson Test

LMADURM2: Stata module to compute 2SLS-IV Autocorrelation Dynamic Durbin m Test at Higher Order AR(p),
Emad Shehata and Sahra Mickaiel, from Boston College Department of Economics (2015)
Keywords: Regression, 2SLS, LIML, MELO, GMM, K-CLASS, Two-Stage Least Squares (2SLS), Limited-Information Maximum Likelihood (LIML), Minimum Expected Loss (MELO), Fuller k-Class LIML, Theil K-Class LIML, Generalized Method of Moments (GMM), Autocorrelation, Durbin m Test

LMADW2: Stata module to compute 2SLS-IV Autocorrelation Durbin-Watson Test at Higher Order AR(p),
Emad Shehata and Sahra Mickaiel, from Boston College Department of Economics (2012)
Keywords: Autocorrelation, Regression, 2SLS, LIML, GMM, Durbin-Watson test

IVREGRESS2: Stata module to export first and second-stage results similar to ivregress,
Roy Wada, from Boston College Department of Economics (2014)
Keywords: ivregress, 2sls, liml, gmm, first-stage, instrument, iv

Asymptotic probability concentrations and finite sample properties of modified LIML estimators for equations with more than two endogenous variables,
Dennis Oberhelman and K. Rao Kadiyala, in Journal of Econometrics (2000)

Exact and Approximate Distributions of the Maximum Likelihood Estimator of a Slope Coefficient: The LIML Estimator for a Known Covariance Matrix,
T. W. Anderson and Takamitsu. Sawa, from California Institute of Technology, Division of the Humanities and Social Sciences (1980)

Causality in direct air services and tourism demand,
Tay T.R. Koo, Christine Lim and Frédéric Dobruszkes, in Annals of Tourism Research (2017)
Keywords: Direct air services; Air transport liberalization; Tourism demand; Endogeneity; LIML estimator; Instrumental variable;

On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments,
T.W. Anderson, Naoto Kunitomo and Yukitoshi Matsushita, in Journal of Econometrics (2011)
Keywords: Finite sample properties; Empirical likelihood; GMM; Simultaneous equations with many instruments; Limited information maximum likelihood; Nonlinear LIML;

Confidence Sets Based On Inverting Anderson-rubin Tests,
James MacKinnon and Russell Davidson, from Economics Department, Queen's University (2011)
Keywords: weak instruments, confidence interval, instrumental variables, LIML, Sargan test, F test, overidentifying restrictions

The limited information maximum likelihood approach to dynamic panel structural equation models,
Kentaro Akashi and Naoto Kunitomo, in Annals of the Institute of Statistical Mathematics (2015)
Keywords: Dynamic panel structural equation, LIML, Many orthogonal conditions, Forward and backward filters, Optimality,

Higher Order Approximation of IV Estimators with Invalid Instruments,
Byunghoon Kang, from Lancaster University Management School, Economics Department (2018)
Keywords: Instrument selection, Invalid instruments, Many instruments, 2SLS, LIML, Fuller estimator, Bias-adjusted 2SLS

Exact Distribution Theory in Structural Estimation with an Identity,
Peter Phillips, from Cowles Foundation for Research in Economics, Yale University (2007)
Keywords: Exact distribution, Identity, IV estimation, LIML, Structural equation, Uniform asymptotic expansion

A weighted average limited information maximum likelihood estimator,
Muhammad Qasim, in Statistical Papers (2024)
Keywords: Endogeneity, Instrumental variables, LIML, 2SLS, Shrinkage estimator, Stein estimation, Many weak instruments

LMALB2: Stata module to compute 2SLS-IV Autocorrelation Ljung-Box Test at Higher Order AR(p),
Emad Shehata and Sahra Mickaiel, from Boston College Department of Economics (2012)
Keywords: Autocorrelation, Regression, 2SLS, LIML, GMM, Ljung-Box test, Box-Pierce test

LMADURH2: Stata module to compute 2SLS-IV Autocorrelation Dynamic Durbin h, Harvey LM, and Wald Tests,
Emad Shehata and Sahra Mickaiel, from Boston College Department of Economics (2012)
Keywords: Autocorrelation, Regression, 2SLS, LIML, GMM, Durbin h test, Harvey LM test, Wald test

Robust Inference for the Frisch Labor Supply Elasticity,
Michael Keane and Timothy Neal, from School of Economics, The University of New South Wales (2022)
Keywords: Frisch elasticity, labor supply, weak instruments, 2SLS, Anderson-Rubin test, LIML, Continuously Updated GMM

Robust Inference for the Frisch Labor Supply Elasticity,
Michael P. Keane and Timothy Neal, from Federal Reserve Bank of Minneapolis (2023)
Keywords: continuously updated GMM; Labor supply; 2SLS; LIML; weak instruments; Frisch elasticity; Anderson-Rubin test

Causality in direct air services and tourism demand,
Tay-Ryang Koo, Christine Lim and Frédéric Dobruszkes, from ULB -- Universite Libre de Bruxelles (2017)
Keywords: Air transport liberalization; Direct air services; Endogeneity; Instrumental variable; LIML estimator; Tourism demand

Tourism and financial development in small states,
Colin Cannonier and Monica Galloway Burke, in Tourism Economics (2017)
Keywords: Caribbean economies; dynamic generalized method of moments; financial development; instrumental variables (IV); limited information maximum likelihood (LIML); tourism expenditure

Implementing tests with correct size in the simultaneous equations model,
Marcelo Moreira and Brian Poi, in Stata Journal (2003)
Keywords: instrumental variables, weak instruments, similar tests, score test, Wald test, likelihood-ratio test, conÞdence regions, 2SLS estimator, LIML estimator

Educational intentions, cognitive skills and earnings expectations of French undergraduates,
Claire Bonnard, Jean-François Giret and Marielle Lambert-Le Mener, from HAL (2014)
Keywords: wage expectations,cognitive skills,first year students,LIML estimation,Estimation,Salaire,Compétence cognitive,Étudiant,Supérieur premier cycle,Enseignement supérieur

Does an Empty Nest Affect Elders’ Health? Empirical Evidence from China,
Min Gao, Yanyu Li, Shengfa Zhang, Linni Gu, Jinsui Zhang, Zhuojun Li, Weijun Zhang and Donghua Tian, in IJERPH (2017)
Keywords: empty nest; overall health; instrumental variable; limited-information maximum likelihood model (LIML); 2 stage least squares (2SLS)

GMM with Many Moment Conditions,
Chirok Han and Peter Phillips, from Cowles Foundation for Research in Economics, Yale University (2005)
Keywords: Epiconvergence, GMM, Irrelevant instruments, IV, Large numbers of instruments, LIML estimation, Panel models, Pseudo true value, Signal, Signal Variability, Weak instrumentation

IVREG210: Stata module for extended instrumental variables/2SLS and GMM estimation (v10),
Christopher Baum, Mark Schaffer and Steven Stillman, from Boston College Department of Economics (2015)
Keywords: instrumental variables, Sargan test, robust estimation, orthogonality, GMM, Hansen's J, heteroskedastic OLS, HAC, bandwidth, k-class estimator, LIML

IVREG2: Stata module for extended instrumental variables/2SLS and GMM estimation,
Christopher Baum, Mark Schaffer and Steven Stillman, from Boston College Department of Economics (2024)
Keywords: instrumental variables, Sargan test, robust estimation, orthogonality, GMM, Hansen's J, heteroskedastic OLS, HAC, bandwidth, k-class estimator, LIML

IVREG29: Stata module for extended instrumental variables/2SLS and GMM estimation (v9),
Christopher Baum, Mark Schaffer and Steven Stillman, from Boston College Department of Economics (2015)
Keywords: instrumental variables, Sargan test, robust estimation, orthogonality, GMM, Hansen's J, heteroskedastic OLS, HAC, bandwidth, k-class estimator, LIML

IVREG28: Stata module for extended instrumental variables/2SLS and GMM estimation (v8),
Christopher Baum, Mark Schaffer and Steven Stillman, from Boston College Department of Economics (2011)
Keywords: instrumental variables, Sargan test, robust estimation, orthogonality, GMM, Hansen's J, heteroskedastic OLS, HAC, bandwidth, k-class estimator, LIML

Instrument strength in IV estimation and inference: A guide to theory and practice,
Michael Keane and Timothy Neal, in Journal of Econometrics (2023)
Keywords: Instrumental variables; Weak instruments; 2SLS; Endogeneity; F-test; Size distortion; Anderson–Rubin test; Likelihood ratio test; LIML; GMM; Fuller; JIVE;