Approximate Distributions of the Likelihood Ratio Statistic in a Structural Equation with Many Instruments

Yukitoshi Matsushita

No CIRJE-F-466, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: 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 distribution of the likelihood ratio (LR) statistics under the null hypothesis H0 : ƒÀ = ƒÀ0: the (large sample) asymptotic expansion and the large-Kn asymptotic theory. The size comparison of two modified LR tests based on these two asymptotics is made with Moreira's conditional likelihood ratio (CLR) test and the large K t-test.

Pages: 24 pages
Date: 2007-02
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2007cf466

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