Search Results

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)

Joint Distribution Theory for Some Statistics Based on LIML and TSLS,
Grant Hillier, from Cowles Foundation for Research in Economics, Yale University (1987)
Keywords: LIML, Two state least squares, density function

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

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,

Estimating semi-parametric output distance functions with neural-based reduced form equations using LIML,
Angelos Vouldis, Panayotis Michaelides and Mike Tsionas, in Economic Modelling (2010)
Keywords: Output distance function Translog Technical efficiency ANN LIML

WEAKIVTEST: Stata module to perform weak instrument test for a single endogenous regressor in TSLS and LIML,
Carolin Pflueger and Su Wang, from Boston College Department of Economics (2024)
Keywords: weak instruments, 2SLS, TSLS, LIML, non-i.i.d. errors

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)

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)

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,

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

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;

The nonorthogonal estimator,
Matthew Haner, in Statistics & Probability Letters (2005)
Keywords: Fractional replications Unbiased estimators Randomized estimators

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

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 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)

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)

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)

A generalization of asymptotically linear estimators,
W. Wefelmeyer, in Statistics & Probability Letters (1991)
Keywords: Asymptotically linear estimator regular estimator

Trimmed, Bayesian and admissible estimators,
Jana Jurecková and Lev B. Klebanov, in Statistics & Probability Letters (1999)
Keywords: Admissibility Bayesian estimators Trimmed estimators

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

On minimum Kantorovich distance estimators,
Federico Bassetti, Antonella Bodini and Eugenio Regazzini, in Statistics & Probability Letters (2006)
Keywords: Consistency of point estimators Minimum dissimilarity estimators Minimum Kantorovich distance estimators

Averaged Instrumental Variables Estimators,
Yoonseok Lee and Yu Zhou, from Center for Policy Research, Maxwell School, Syracuse University (2015)
Keywords: Averaged estimator, many weak instruments, class estimator

Notes on Use of the Composite Estimator: an Improvement of the Ratio Estimator,
Lui Kung-Jong, in Journal of Official Statistics (2020)
Keywords: Composite estimator, ratio estimator, simple expansion estimator, odds ratio, phi correlation, regression estimator

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)

Performance of the Bootstrap for DEA Estimators and Iterating the Principle,
Leopold Simar and Paul Wilson, from Catholique de Louvain - Institut de statistique (2000)
Keywords: ECONOMETRICS ; ESTIMATOR

Performance of the Bootstrap for DEA Estimators and Iterating the Principle,
Leopold Simar and Paul Wilson, from Catholique de Louvain - Institut de statistique (1999)
Keywords: ECONOMETRICS ; ESTIMATOR

A remark on approximate M-estimators,
Miguel A. Arcones, in Statistics & Probability Letters (1998)
Keywords: M-estimators LAD regression

On universal unbiasedness of delta estimators,
Jose Vidal-Sanz, from Universidad Carlos III de Madrid. Departamento de Estadística (1999)
Keywords: Bias of delta estimators

The Bias of the 2SLS Variance Estimator,
Jan Kiviet and Garry Phillips, from University of Exeter, Department of Economics (1999)
Keywords: ESTIMATOR ; REGRESSION ANALYSIS ; ECONOMETRICS

Improving the James-Stein estimator using the Stein variance estimator,
J. Calvin Berry, in Statistics & Probability Letters (1994)
Keywords: Shrinkage estimator James-Stein estimator Stein variance estimator

Estimator Comparison for the Prediction of Election Results,
Miltiadis S. Chalikias, Georgios X. Papageorgiou and Dimitrios P. Zarogiannis, in Stats (2024)
Keywords: cluster sampling; ratio estimator; Horvitz–Thompson estimator; linear regression estimator

Influence Function and Efficiency of the Minimum Covariance Determinant Scatter MAtrix Estimator,
C. Croux and G. Haesbroeck, from UNIVERSITE DE LIEGE, Faculte d'economie, de gestion et de sciences sociales, Groupe d'Etude des Mathematiques du Management et de l'Economie (1998)
Keywords: ESTIMATOR ; EFFICIENCY

THE LIMITING DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN NEARLY INTEGRATED SEASONAL MODELS,
Pierre Perron, from Princeton, Department of Economics - Econometric Research Program (1990)
Keywords: econometrics ; estimator

Stability under contamination of robust regression estimators based on differences of residuals,
José Ramón Berrendero Díaz, from Universidad Carlos III de Madrid. Departamento de Estadística (1996)
Keywords: S-estimators

The asymptotic equivalence between the iterated improved 2sls estimator and the 3sls estimator,
Hailong Qian and Peter Schmidt, in Econometric Reviews (1997)
Keywords: 2SLS(IV) estimators, Improved 2SLS(IV) estimators, Iterated improved 2SLS(IV) estimators, 3SLS estimators,

Convergence of the optimal M-estimator over a parametric family of M-estimators,
Miguel Arcones, in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research (2005)
Keywords: M-estimators, 62E20,

Combining the Liu-type estimator and the principal component regression estimator,
Deniz Inan, in Statistical Papers (2015)
Keywords: Liu-type estimator, r–k class estimators, Principal component regression estimator, Ridge estimator, Multicollinearity, 62J07,

Moderate deviations for M-estimators,
Miguel Arcones, in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research (2002)
Keywords: M-estimators, moderate deviations, maximum likelihood estimators, 60F10, 62E20,

Averaging estimators for kernel regressions,
Chu-An Liu, in Economics Letters (2018)
Keywords: Cross-validation; Local constant estimator; Local linear estimator; Model averaging;

Bootstrap Confidence Bands for Shrinkage Estimators,
C. Kazimi and David Brownstone, from California Irvine - School of Social Sciences (1994)
Keywords: estimator ; economic models

A matching estimator of household equivalence scales,
Adam Szulc, in Economics Letters (2009)
Keywords: Equivalence scale Matching estimator

On homogeneous James–Stein type estimators,
Djamila Boukehil, Dominique Fourdrinier, Fatiha Mezoued and William E. Strawderman, in Statistics & Probability Letters (2022)
Keywords: James–Stein estimator; Minimaxity;

WHEN ARE TWO STEP ESTIMATORS EFFICIENT?,
M. McLeer and Colin McKenzie, from Australian National University - Department of Economics (1989)
Keywords: regression analysis ; estimator ; econometrics

Minimaxity of Pitman estimators,
Hartmut Milbrodt, in Journal of Multivariate Analysis (1987)
Keywords: Pitman estimators invariant experiments minimaxity

The Hausman pretest estimator,
Viera Chmelarova and Carter Hill, in Economics Letters (2010)
Keywords: Pretest estimator Hausman test Endogeneity

Moments of IV and JIVE estimators,
Russell Davidson and James MacKinnon, from HAL (2009)
Keywords: instrumental variables,JIVE,moments of estimators

A simple and competitive estimator of location,
Y. M. Chan and Xuming He, in Statistics & Probability Letters (1994)
Keywords: Breakdown point robust estimator Hodges-Lehmann estimator Huber's M-estimator location mean median efficiency

Estimators of the Parameters of Beta Distribution,
Kartlos Joseph Kachiashvili and David I. Melikdzhanjan, in Sankhya B: The Indian Journal of Statistics (2019)
Keywords: Beta distribution, Maximum likelihood estimator, Biased estimator, Unbiased estimator, Iteration algorithm, Optimization algorithm

Evaluation and Comparison of Estimators in the Gompertz Distribution,
Sanku Dey, Tanmay Kayal and Yogesh Mani Tripathi, in Annals of Data Science (2018)
Keywords: Gompertz distribution, Maximum likelihood estimator, Uniformly minimum variance unbiased estimator, Least square estimator, Percentile estimator, Cramér–von-Mises estimator

On the Use of Shrinkage Estimators in Filtering Extraneous Information,
Achille Vernizzi, Rino Goller and Paolo Sais, from Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano (2016)
Keywords: Shrinkage Estimators, Ridge Regression, James-Stein Estimator, Pre-Test Estimators

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)

Linear Estimators for a Class of Stationary Queueing Processes,
Shlomo Halfin, in Operations Research (1982)
Keywords: 701 estimators for queueing processes, 799 linear estimators

On the M-Estimator under Third Moment Condition,
Rundong Luo, Yiming Chen and Shuai Song, in Mathematics (2022)
Keywords: M-estimator; Catoni’s estimator; empirical mean

Consistency of minimum divergence estimators based on grouped data,
Federico Bassetti, Antonella Bodini and Eugenio Regazzini, in Statistics & Probability Letters (2007)
Keywords: Consistency of point estimators Minimum divergence estimators

On M and P estimators that have breakdown point equal to,
Min-Te Chao, in Statistics & Probability Letters (1986)
Keywords: M-estimator P-estimator breakdown point median

Improving quarterly index of turnover by means of a calibration estimator,
Fabio Bacchini, Claudio Ceccarelli, Diego Chianella and Roberto Iannaccone, in RIEDS - Rivista Italiana di Economia, Demografia e Statistica - The Italian Journal of Economic, Demographic and Statistical Studies (2014)
Keywords: sampling design, calibration estimator, Horwitz-Thompson estimator

Asymptotically unbiased estimators for the extreme-value index,
L. Peng, in Statistics & Probability Letters (1998)
Keywords: Extreme-value index Hill estimator Pickands' estimator

Multivariate moment based extreme value index estimators,
Matias Heikkilä, Yves Dominicy and Pauliina Ilmonen, in Computational Statistics (2017)
Keywords: Elliptical distribution, Moment estimator, Mixed moment estimator

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;

A feasible minimum risk estimator interpretation to Stein-rule estimators in linear regression model,
V. K. Srivastava and A. K. Srivastava, in Statistics & Probability Letters (1994)
Keywords: Feasible minimum risk estimator Stein-rule estimator

On the Intrinsic Estimator and Constrained Estimators in Age-Period-Cohort Models,
Wenjiang J. Fu, Kenneth C. Land and Yang Yang, in Sociological Methods & Research (2011)
Keywords: constrained estimators; age-period-cohort models; temporal dimensions; intrinsic estimator

Closed-form estimators and bias-corrected estimators for the Nakagami distribution,
Jun Zhao, SungBum Kim and Hyoung-Moon Kim, in Mathematics and Computers in Simulation (MATCOM) (2021)
Keywords: Closed-form estimator; Bias-corrected estimator; MLE; Nakagami distribution;

The Non-Optimality of Interval Restricted and Pre-Test Estimators Under Squared Error Loss,
Alan Wan, from New South Wales - School of Economics (1993)
Keywords: econometrics ; estimator

A note on improving on a vector of coordinate-wise estimators of non-negative means via shrinkage,
Yuan-Tsung Chang, Takeru Matsuda and William E. Strawderman, in Statistics & Probability Letters (2019)
Keywords: Generalized Bayes estimator; Stein estimator; Katz estimator; Pseudo-Bayes estimator;

An approach to improving the James-Stein estimator,
Tatsuya Kubokawa, in Journal of Multivariate Analysis (1991)
Keywords: James-Stein estimator generalized Bayes estimator inadmissibility quadratic loss

Uniform strong consistency of robust estimators,
José R. Berrendero, in Statistics & Probability Letters (2003)
Keywords: Uniform strong consistency Robustness M-estimators GS-estimators

Symmetrized kernel estimators of the regression slope,
Stephen Blyth, in Statistics & Probability Letters (1994)
Keywords: Regression Yang--Stute estimators Regression slope Symmetrized kernel estimators

On the absolute bias ratio of ratio estimators,
Xiao-Li Meng, in Statistics & Probability Letters (1993)
Keywords: Combined ratio estimator separate ratio estimator stratified sampling

Estimators of covariances in time series models,
Yogendra P. Chaubey, in Statistics & Probability Letters (1985)
Keywords: jackknife estimator minimum norm quadratic estimator autocovariance estimation

An optimal property of the Gauss-Markoff estimator,
Mir M Ali and R Ponnapalli, in Journal of Multivariate Analysis (1990)
Keywords: linear estimation Gauss-Markoff estimator elliptical distribution maximum probability estimator

An improved class of estimators for the population mean,
Giancarlo Diana, Marco Giordan and Pier Perri, in Statistical Methods & Applications (2011)
Keywords: Rao estimator, Regression estimator, Monte Carlo simulation, Efficiency comparisons,

Two and Three Stage Least Squares as Aitken estimators,
Spyros Missiakoulis, in Journal of Statistical and Econometric Methods (2020)
Keywords: Two Stage Least Squares estimators, Three Stage Least Squares estimators, Generalized Least Squares estimators, Aitken estimators.

THE EXACT DISTRIBUTION OF EXOGENOUS VARIABLE COEFFICIENT ESTIMATORS,
Christopher Skeels, from Australian National University - Department of Economics (1989)
Keywords: information ; time series ; estimator

On exponential rates of likelihood ratio estimators for location parameters,
James C. Fu, in Statistics & Probability Letters (1985)
Keywords: exponential rate consistent estimator translation invariant estimator likelihood ratio estimator maximum likelihood estimator

Generalized Variance: A Robust Estimator of Stock Price Volatility,
R Gerlach, Maxwell Sutton and Andrey Vasnev, from University of Sydney Business School, Discipline of Business Analytics (2015)
Keywords: Robust estimator; Volatility

Efficiency of the modified jackknifed Liu-type estimator,
Esra Akdeniz Duran and Fikri Akdeniz, in Statistical Papers (2012)
Keywords: Almost unbiased Liu estimator, Jackknifed estimator, Liu-type estimator, Multicollinearity, Ridge regression estimator, 62J05, 62J07,

On moment-type estimators for a class of log-symmetric distributions,
N. Balakrishnan, Helton Saulo, Marcelo Bourguignon and Xiaojun Zhu, in Computational Statistics (2017)
Keywords: Asymptotic normality, Hodges–Lehmann estimator, Log-symmetric distributions, Maximum likelihood estimator, Moment estimator, Modified moment estimator

Improvement of the Liu estimator in linear regression model,
M. Hubert and P. Wijekoon, in Statistical Papers (2006)
Keywords: Ordinary least squares estimator, mixed estimator, Liu estimator, Stochastic Restricted Liu estimator, Mean Squared error matrix,