scholarly journals Asymptotic behavior of the Laplacian quasi-maximum likelihood estimator of affine causal processes

2017 ◽  
Vol 11 (1) ◽  
pp. 452-479 ◽  
Author(s):  
Jean-Marc Bardet ◽  
Yakoub Boularouk ◽  
Khedidja Djaballah
Keyword(s):  
Asymptotic Behavior ◽  
Maximum Likelihood ◽  
Maximum Likelihood Estimator ◽  
Likelihood Estimator ◽  
Causal Processes ◽  
Quasi Maximum Likelihood

OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE

2009 ◽  
Vol 25 (3) ◽  
pp. 793-805 ◽  
Author(s):  
Laura Chioda ◽  
Michael Jansson
Keyword(s):  
Asymptotic Behavior ◽  
Maximum Likelihood ◽  
Sample Size ◽  
Maximum Likelihood Estimator ◽  
Instrumental Variables ◽  
Asymptotic Efficiency ◽  
Rotation Invariance ◽  
Limited Information ◽  
Likelihood Estimator ◽  
Rotation Invariant

This paper studies the asymptotic behavior of a Gaussian linear instrumental variables model in which the number of instruments diverges with the sample size. Asymptotic efficiency bounds are obtained for rotation invariant inference procedures and are shown to be attainable by procedures based on the limited information maximum likelihood estimator. The bounds are obtained by characterizing the limiting experiment associated with the model induced by the rotation invariance restriction.

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