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A weighted average limited information maximum likelihood estimator
Jönköping University, Jönköping International Business School, JIBS, Statistics.ORCID iD: 0000-0003-0279-5305
2024 (English)In: Statistical papers, ISSN 0932-5026, E-ISSN 1613-9798, Vol. 65, p. 2641-2666Article in journal (Refereed) Published
Abstract [en]

In this article, a Stein-type weighted limited information maximum likelihood (LIML) estimator is proposed. It is based on a weighted average of the ordinary least squares (OLS) and LIML estimators, with weights inversely proportional to the Hausman test statistic. The asymptotic distribution of the proposed estimator is derived by means of local-to-exogenous asymptotic theory. In addition, the asymptotic risk of the Stein-type LIML estimator is calculated, and it is shown that the risk is strictly smaller than the risk of the LIML under certain conditions. A Monte Carlo simulation and an empirical application of a green patent dataset from Nordic countries are used to demonstrate the superiority of the Stein-type LIML estimator to the OLS, two-stage least squares, LIML and combined estimators when the number of instruments is large.

Place, publisher, year, edition, pages
Springer, 2024. Vol. 65, p. 2641-2666
Keywords [en]
2SLS, Endogeneity, Instrumental variables, LIML, Many weak instruments, Shrinkage estimator, Stein estimation
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:hj:diva-62757DOI: 10.1007/s00362-023-01485-2ISI: 001092166200001Scopus ID: 2-s2.0-85173791738Local ID: HOA;;911837OAI: oai:DiVA.org:hj-62757DiVA, id: diva2:1806746
Available from: 2023-10-23 Created: 2023-10-23 Last updated: 2024-10-10Bibliographically approved

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Qasim, Muhammad

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