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Zoekopdracht: faculteit: "FEB" en publicatiejaar: "2003"

AuteurF. Kleibergen
TitelOrthogonal statistics and the density of the liml estimator
UitgeverDepartment of Quantitative Economics
PlaatsAmsterdam
Jaar2003
Pagina's19
SerietitelUvA Econometrics Discussion Paper
Serienummer2003/11
FaculteitFaculteit Economie en Bedrijfskunde
Instituut/afd.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
SamenvattingWe show that orthogonalization is helpful for constructing densities of maximum likelihood
estimators. We therefore use an orthogonal specification of the reduced form of the instrumental variables regression model to obtain an approximation of the density of the limited information maximum likelihood estimator. The approximation consists of a single infinite sum and is less involved than the expression of the true density. In comparisons with the sampling density the approximation is shown to be accurate indicating the validity of its construction.
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