Asymptotic expansions are made for the distributions of the Maximum Empirical Likelihood (MEL) estimator and the Estimating Equation (EE) estimator (or the Generalized Method of Moments (GMM) in econometrics) for the coefficients of a single structural equation in a system of linear simultaneous...

We consider the estimation of the coefficients of a linear structural equation in a simultaneous equation system when there are many instrumental variables. We derive some asymptotic properties of the limited information maximum likelihood (LIML) estimator when the number of instruments is large;...

We compare four different estimation methods for the coefficients of a linear structural equation with instrumental variables. As the classical methods we consider the limited information maximum likelihood (LIML) estimator and the two-stage least squares (TSLS) estimator, and as the...

Asymptotic expansions are made of the distributions of a class of semi-parametric estimators including the Maximum Empirical Likelihood (MEL) method and the Generalized Method of Moments (GMM) for the coefficients of a single structural equation in the linear simultaneous equations system. The...

We compare four dffierent estimation methods for a coefficient of a linear structural equation with instrumental variables. As the classical methods we consider the limited information maximum likelihood (LIML) estimator and the two-stage least squares (TSLS) estimator, and as the...

Anderson and Kunitomo (2007) have developed the likelihood ratio criterion, which is called the Rank-Adjusted Anderson-Rubin (RAAR) test, for testing the coefficients of a structural equation in a system of simultaneous equations in econometrics against the alternative hypothesis that the...

This paper studies the properties of t-ratios associated with the limited information maximum likelihood (LIML) estimators in a structural form estimation when the number of instrumental variables is large. Asymptotic expansions are made of the distributions of a large K t-ratio statistic under...

The distributions of the Maximum Empirical Likelihood (MEL) estimator and the Generalized Method o Moments (GMM) estimator for the coe cient o one endogenous variable in a linear structural equation are evaluated numerically.Tables and gures are given for enough values of the parameters to cover...

When an econometric structural equation includes two endogenous variables and their coefficients are normalized so that their sum of squares is 1, it is natural to express them as the sine and cosine of an angle. The Limited Information Maximum Likelihood (LIML) estimator of this angle when the...

This paper studies the properties of 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...