Approximate Distributions of the Likelihood Ratio Statistic in a Structural Equation with Many Instruments
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- Matsushita Yukitoshi
- CIRJE, Faculty of Economics, University of Tokyo
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Abstract
This paper studies properties of the 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) statistic under the null hypothesis H0:β=β0: a (large sample) asymptotic expansion and a large-Kn asymptotic theory. Size comparisons of two modified LR tests based on these two asymptotics are made with Moreira's conditional likelihood ratio (CLR) test and the large K t-test.
Journal
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- JOURNAL OF THE JAPAN STATISTICAL SOCIETY
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JOURNAL OF THE JAPAN STATISTICAL SOCIETY 38 (2), 207-223, 2008
THE JAPAN STATISTICAL SOCIETY
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Details 詳細情報について
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- CRID
- 1390282680263115264
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- NII Article ID
- 110006835623
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- NII Book ID
- AA1105098X
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- ISSN
- 13486365
- 18822754
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- MRID
- 2458928
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- NDL BIB ID
- 9597244
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- Text Lang
- en
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- Data Source
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- JaLC
- NDL
- Crossref
- CiNii Articles
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- Abstract License Flag
- Disallowed