请问fully information maximum likelyhood 与 OLS# Economics - 经济
j*u
1 楼
fiml the whole system like to estimate each equation by OLS?
如果没甚麽区别,是不是FIML the whole system 比较好?
一见matix 就头疼的说
如果没甚麽区别,是不是FIML the whole system 比较好?
一见matix 就头疼的说
m*i
2 楼
I guess FIML estimates are the same as running reduced form. It
yields consistent estimates. It's definitely different from OLS.
FIML is better.
【在 j******u 的大作中提到】
: fiml the whole system like to estimate each equation by OLS?
: 如果没甚麽区别,是不是FIML the whole system 比较好?
: 一见matix 就头疼的说
yields consistent estimates. It's definitely different from OLS.
FIML is better.
【在 j******u 的大作中提到】
: fiml the whole system like to estimate each equation by OLS?
: 如果没甚麽区别,是不是FIML the whole system 比较好?
: 一见matix 就头疼的说
g*r
3 楼
Just finished my econometric comp. FIML is asymptotically
equivalent to 3SLS without constraint on the variance matrix.
We know that if there exists heteroskedasticity or in the case
of simultaneous equation model, 3SLS is preferred, and thus FIML.
【在 m****i 的大作中提到】
: I guess FIML estimates are the same as running reduced form. It
: yields consistent estimates. It's definitely different from OLS.
: FIML is better.
equivalent to 3SLS without constraint on the variance matrix.
We know that if there exists heteroskedasticity or in the case
of simultaneous equation model, 3SLS is preferred, and thus FIML.
【在 m****i 的大作中提到】
: I guess FIML estimates are the same as running reduced form. It
: yields consistent estimates. It's definitely different from OLS.
: FIML is better.
j*u
4 楼
is there some software could estimate the parameter by fiml?
you mean it is equal to 3sls, so is there some software do 3sls?
i knew eview can, but i think it is too complicated.
其实,我不明白FIML的本质的说.
I knew a little about 2sls, is 3sls like 2sls?
【在 g*****r 的大作中提到】
: Just finished my econometric comp. FIML is asymptotically
: equivalent to 3SLS without constraint on the variance matrix.
: We know that if there exists heteroskedasticity or in the case
: of simultaneous equation model, 3SLS is preferred, and thus FIML.
you mean it is equal to 3sls, so is there some software do 3sls?
i knew eview can, but i think it is too complicated.
其实,我不明白FIML的本质的说.
I knew a little about 2sls, is 3sls like 2sls?
【在 g*****r 的大作中提到】
: Just finished my econometric comp. FIML is asymptotically
: equivalent to 3SLS without constraint on the variance matrix.
: We know that if there exists heteroskedasticity or in the case
: of simultaneous equation model, 3SLS is preferred, and thus FIML.
g*r
5 楼
If your sample size is big, FIML is equivalent to 3SLS, and
LIML is equivalent to 2SLS. The difference between 3SLS and
2SLS is the M matrix. I wonder if you know Q=1/2*H'MH. In
2SLS, M=inv(1/T*W'W), where W is the instrumental matrix. In
3SLS, M=inv(variance matrix/T*W'W). These are all in
homoskadastic case. If the variance matrix is not diagonal
with 1's, 2SLS is not efficient, ie you have to use 3SLS. If
you are sure there exists heteroskadasticity, you have to
construct the M matrix
LIML is equivalent to 2SLS. The difference between 3SLS and
2SLS is the M matrix. I wonder if you know Q=1/2*H'MH. In
2SLS, M=inv(1/T*W'W), where W is the instrumental matrix. In
3SLS, M=inv(variance matrix/T*W'W). These are all in
homoskadastic case. If the variance matrix is not diagonal
with 1's, 2SLS is not efficient, ie you have to use 3SLS. If
you are sure there exists heteroskadasticity, you have to
construct the M matrix
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