Showing papers by "T. W. Anderson published in 2010"
TL;DR: In this article, the authors derived some asymptotic properties of the limited information maximum likelihood (LIML) estimator when the number of instruments is large and the disturbance terms are not normally distributed.
50 citations
TL;DR: The second-order moment of the estimator of the linear combination of coefficients of a structural equation in a simultaneous equation model was shown to be bounded in this paper, assuming that the normalization of the sample error variance is fixed.
11 citations
TL;DR: The likelihood ratio test is invariant with respect to these transformations and is the best invariant test in the class of all tests as mentioned in this paper, and furthermore it is admissible in all tests.
Abstract: Consider testing the null hypothesis that a single structural equation has specified coefficients. The alternative hypothesis is that the relevant part of the reduced form matrix has proper rank, that is, that the equation is identified. The usual linear model with normal disturbances is invariant with respect to linear transformations of the endogenous and of the exogenous variables. When the disturbance covariance matrix is known, it can be set to the identity, and the invariance of the endogenous variables is with respect to orthogonal transformations. The likelihood ratio test is invariant with respect to these transformations and is the best invariant test. Furthermore it is admissible in the class of all tests. Any other test has lower power and/or higher significance level.
1 citations