Small Sample and Asymptotic Relations Between Maximum Likelihood and Three Stage Least Squares Estimators

Least squares and maximum likelihood

Origins of the limited information maximum likelihood and two-stage least squares estimators

Theil, Basmann, and Sargan are often credited with the development of the two-stage least squares (TSLS) estimator of the coefficients of one structural equation in a simultaneous equations model. However, Anderson and Rubin had earlier derived the asymptotic distribution of the limited information maximum likelihood (LIML) estimator by finding the asymptotic distribution of what is essentially...

Asymptotic Least Squares Estimators for Dynamic Games

This paper considers the estimation problem in dynamic games with …nite actions. We derive the equation system that characterizes the Markovian equilibria. The equilibrium equation system enables us to characterize conditions for identi…cation. We consider a class of asymptotic least squares estimators de…ned by the equilibrium conditions. This class provides a uni…ed framework for a number of ...

Asymptotic Least Squares Estimators for Dynamic Games1

This paper considers the estimation problem in dynamic games with finite actions. We derive the equation system that characterizes the Markovian equilibria. The equilibrium equation system enables us to characterize conditions for identification. We consider a class of asymptotic least squares estimators defined by the equilibrium conditions. This class provides a unified framework for a number...

Asymptotic Distributions of Quasi-Maximum Likelihood Estimators

Asymptotic properties of MLEs and QMLEs of mixed regressive, spatial autoregressive models are investigated. The stochastic rates of convergence of the MLE and QMLE for such models may be less than the √ n-rate under some circumstances even though its limiting distribution is asymptotically normal. When spatially varying regressors are relevant, the MLE and QMLE of the mixed regressive, autoreg...