文章基本信息

标题：Approximate Distributions of the Likelihood Ratio Statistic in a Structural Equation with Many Instruments
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作者：Yukitoshi Matsushita
期刊名称：JOURNAL OF THE JAPAN STATISTICAL SOCIETY
印刷版ISSN：1882-2754
电子版ISSN：1348-6365
出版年度：2008
卷号：38
期号：2
页码：207-223
DOI：10.14490/jjss.38.207
出版社：JAPAN STATISTICAL SOCIETY
摘要：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 H ₀ :β=β ₀: a (large sample) asymptotic expansion and a large- K_n 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.
关键词：Asymptotic expansion;large- Kn asymptotics;many instruments