IDEAS home Printed from https://ideas.repec.org/r/eee/jmvana/v8y1978i1p1-29.html
   My bibliography  Save this item

A third-order optimum property of the maximum likelihood estimator

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Naoto Kunitomo, 1981. "On A Third Order Optimum Property of The LIML Estimator When the Sample Size is Large," Discussion Papers 502, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  2. Victor Chernozhukov & Carlos Cinelli & Whitney Newey & Amit Sharma & Vasilis Syrgkanis, 2021. "Long Story Short: Omitted Variable Bias in Causal Machine Learning," Papers 2112.13398, arXiv.org, revised Nov 2023.
  3. Kunitomo, Naoto & Matsushita, Yukitoshi, 2009. "Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations," Journal of Multivariate Analysis, Elsevier, vol. 100(8), pages 1727-1751, September.
  4. Whitney K. Newey & Richard J. Smith, 2004. "Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators," Econometrica, Econometric Society, vol. 72(1), pages 219-255, January.
  5. Masafumi Akahira & Kei Takeuchi, 1989. "Higher order asymptotics in estimation for two-sided Weibull type distributions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 41(4), pages 725-752, December.
  6. Geert Dhaene & Koen Jochmans, 2015. "Split-panel Jackknife Estimation of Fixed-effect Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(3), pages 991-1030.
  7. repec:hal:wpspec:info:hdl:2441/f6h8764enu2lskk9p2m9mgp8l is not listed on IDEAS
  8. Michael Creel & Dennis Kristensen, 2013. "Indirect Likelihood Inference (revised)," UFAE and IAE Working Papers 931.13, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  9. repec:hal:spmain:info:hdl:2441/eu4vqp9ompqllr09ij4j0h0h1 is not listed on IDEAS
  10. Patrik Guggenberger & Jinyong Hahn, 2005. "Finite Sample Properties of the Two-Step Empirical Likelihood Estimator," Econometric Reviews, Taylor & Francis Journals, vol. 24(3), pages 247-263.
  11. repec:hal:spmain:info:hdl:2441/f6h8764enu2lskk9p2m9mgp8l is not listed on IDEAS
  12. Michael Creel & Dennis Kristensen, "undated". "Indirect Likelihood Inference," Working Papers 558, Barcelona School of Economics.
  13. Masaflimi Akahira, 1988. "Second order asymptotic optimality of estimators for a density with finite cusps," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 40(2), pages 311-328, June.
  14. Jeffrey M. Wooldridge, 2004. "Estimating average partial effects under conditional moment independence assumptions," CeMMAP working papers CWP03/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  15. Caner, Mehmet, 2008. "Nearly-singular design in GMM and generalized empirical likelihood estimators," Journal of Econometrics, Elsevier, vol. 144(2), pages 511-523, June.
  16. Tan, Zhiqiang, 2014. "Second-order asymptotic theory for calibration estimators in sampling and missing-data problems," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 240-253.
  17. Kundhi, Gubhinder & Rilstone, Paul, 2012. "Edgeworth expansions for GEL estimators," Journal of Multivariate Analysis, Elsevier, vol. 106(C), pages 118-146.
  18. Naoto Kunitomo, 1981. "A Third Order Optimum Property of the ML Estimator in Linear Functional Relationships and Simultaneous Equation Systems," Discussion Papers 501, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  19. Andrews, Donald W.K., 2002. "EQUIVALENCE OF THE HIGHER ORDER ASYMPTOTIC EFFICIENCY OF k-STEP AND EXTREMUM STATISTICS," Econometric Theory, Cambridge University Press, vol. 18(5), pages 1040-1085, October.
  20. Gubhinder Kundhi & Paul Rilstone, 2015. "Saddlepoint expansions for GEL estimators," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(1), pages 1-24, March.
  21. Jinyong Hahn & David W. Hughes & Guido Kuersteiner & Whitney K. Newey, 2022. "Efficient Bias Correction for Cross-section and Panel Data," Papers 2207.09943, arXiv.org, revised Jan 2024.
  22. Th. Pfaff, 1983. "Third-order optimum properties of estimator-sequences," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 30(1), pages 125-138, December.
  23. Mehmet Caner, 2005. "Nearly Singular design in gmm and generalized empirical likelihood estimators," Working Paper 211, Department of Economics, University of Pittsburgh, revised Jan 2005.
  24. Hansen, Christian B., 2007. "Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects," Journal of Econometrics, Elsevier, vol. 140(2), pages 670-694, October.
  25. Kyoo Il Kim, 2016. "Higher Order Bias Correcting Moment Equation for M-Estimation and Its Higher Order Efficiency," Econometrics, MDPI, vol. 4(4), pages 1-19, December.
  26. Rilstone, Paul & Srivastava, V. K. & Ullah, Aman, 1996. "The second-order bias and mean squared error of nonlinear estimators," Journal of Econometrics, Elsevier, vol. 75(2), pages 369-395, December.
  27. Kyoo il Kim, 2006. "Higher Order Bias Correcting Moment Equation for M-Estimation and its Higher Order Efficiency," Working Papers 17-2006, Singapore Management University, School of Economics.
  28. Paul Rilstone, 2021. "Higher-Order Stochastic Expansions and Approximate Moments for Non-linear Models with Heterogeneous Observations," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 99-120, December.
  29. Yoshiji Takagi, 1999. "Parametrization Invariance with Respect to Second Order Admissibility Under Mean Squared Error," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 51(1), pages 99-110, March.
  30. Kano, Yutaka, 1998. "More Higher-Order Efficiency: Concentration Probability," Journal of Multivariate Analysis, Elsevier, vol. 67(2), pages 349-366, November.
  31. Susanne M. Schennach, 2007. "Point estimation with exponentially tilted empirical likelihood," Papers 0708.1874, arXiv.org.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.