The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables
Publication Type
Journal Article
Publication Date
1972
Abstract
This article is concerned with the exact finite-sample distribution of the limited-information maximum likelihood estimator when the structural equation being estimated contains two endogenous variables and is identifiable in a complete system of linear stochastic equations. The density function derived, which is represented as a doubly infinite series of a complicated form, reveals the important fact that For arbitrary values of the parameters in the model, the LIML estimator does not possess moments of order greater than or equal to one.
Discipline
Econometrics
Research Areas
Econometrics
Publication
Journal of the American Statistical Association
Volume
67
Issue
337
First Page
159
Last Page
163
ISSN
0162-1459
Identifier
10.1080/01621459.1972.10481219
Publisher
Taylor and Francis
Citation
Mariano, Roberto S. and Sawa, Takamitsu.
The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables. (1972). Journal of the American Statistical Association. 67, (337), 159-163.
Available at: https://ink.library.smu.edu.sg/soe_research/155
Additional URL
https://doi.org/10.1080/01621459.1972.10481219