Optimizing in the class of Fuller modified limited information maximum likelihood estimators

Kadiyala, K. Rao; Oberhelman, Dennis

doi:10.1016/0047-259x(92)90035-e

“…Fuller's (1977) modified limited-information maximum likelihood (FLIML) addresses small sample size with weak instruments and has finite sample moments (Hahn et al 2004). In effect, the FLIML modifies the LIML estimator by subtracting from LIML root, λ0, a number which is asymptotically negligible as the sample size increases (Davidson and MacKinnon 1993;and Kadiyala and Oberhelman 1992). We used α = 4 as it has smaller root mean square (better model fit) and instrument capital inflows to the Philippines using their corresponding aggregate inflows to Indonesia, Malaysia, and Thailand.…”

Section: Empirical Specificationmentioning

confidence: 99%

Are capital inflows expansionary or contractionary in the Philippines?

Mercado¹

2020

Journal of Asian Economics

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This paper sets out to assess whether gross capital inflows to the Philippines are expansionary or contractionary in line with the model predictions and empirical findings of Blanchard et al. (2015).The results indicate that gross inflows are expansionary to output and credit growth. But contrary to the model predictions and empirical findings of Blanchard et al. (2015), we find that private bond inflows to the Philippines are expansionary. Bond inflows may have expansionary impact on output and credit growth if the exchange rate is managed, if the domestic capital market is underdeveloped, if the country receives small bond inflows, and if proceeds from debt issuance are channelled to productive investments. Similar to Blanchard et al. (2015), non-bond inflows have a positive overall impact on output and credit growth despite receiving relatively small foreign direct investment inflows.

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“…Fuller's (1977) modified limited-information maximum likelihood (FLIML) addresses small sample size with weak instruments and has finite sample moments (Hahn et al 2004). In effect, the FLIML modifies the LIML estimator by subtracting from LIML root, λ0, a number which is asymptotically negligible as the sample size increases (Davidson and MacKinnon 1993;and Kadiyala and Oberhelman 1992). We used α = 4 as it has smaller root mean square (better model fit) and instrument capital inflows to the Philippines using their corresponding aggregate inflows to Indonesia, Malaysia, and Thailand.…”

Section: Empirical Specificationmentioning

confidence: 99%

Are Capital Inflows Expansionary or Contractionary in the Philippines?

Mercado

¹

2016

SSRN Journal

0

View full text Add to dashboard Cite

This paper sets out to assess whether gross capital inflows to the Philippines are expansionary or contractionary in line with the model predictions and empirical findings of Blanchard et al. (2015).The results indicate that gross inflows are expansionary to output and credit growth. But contrary to the model predictions and empirical findings of Blanchard et al. (2015), we find that private bond inflows to the Philippines are expansionary. Bond inflows may have expansionary impact on output and credit growth if the exchange rate is managed, if the domestic capital market is underdeveloped, if the country receives small bond inflows, and if proceeds from debt issuance are channelled to productive investments. Similar to Blanchard et al. (2015), non-bond inflows have a positive overall impact on output and credit growth despite receiving relatively small foreign direct investment inflows.

show abstract