The Exact Distribution of LIML: I
AbstractThis paper derives the exact probability density function of the limited information maximum likelihood (LIML) estimator of the coefficient vector of the endogenous variables in a structural equation containing n+1 endogenous variables and L >= 1 degrees of overidentification. This generalizes the presently known results for the two endogenous variable case (n+1 = 2) and the leading case analyses in the author's earlier paper (1982). Upon appropriate symbolic translation the results may be applied directly to the maximum likelihood estimator in the multivariate linear functional relationship.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.
Volume (Year): 25 (1984)
Issue (Month): 1 (February)
Contact details of provider:
Postal: 160 McNeil Building, 3718 Locust Walk, Philadelphia, PA 19104-6297
Phone: (215) 898-8487
Fax: (215) 573-2057
Web page: http://www.econ.upenn.edu/ier
More information through EDIRC
Other versions of this item:
- Peter C.B. Phillips, 1983. "The Exact Distribution of LIML: II," Cowles Foundation Discussion Papers 663, Cowles Foundation for Research in Economics, Yale University.
- Peter C.B. Phillips, 1982. "The Exact Distribution of LIML: I," Cowles Foundation Discussion Papers 658, Cowles Foundation for Research in Economics, Yale University.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Fuller, Wayne A, 1977. "Some Properties of a Modification of the Limited Information Estimator," Econometrica, Econometric Society, vol. 45(4), pages 939-53, May.
- Naoto Kunitomo, 1981. "On A Third Order Optimum Property of The LIML Estimator When the Sample Size is Large," Discussion Papers 502, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Mariano, Roberto S, 1977. "Finite Sample Properties of Instrumental Variable Estimators of Structural Coefficients," Econometrica, Econometric Society, vol. 45(2), pages 487-96, March.
- Wegge, Leon L, 1971. "The Finite Sampling Distribution of Least Squares Estimators with Stochastic Regressors," Econometrica, Econometric Society, vol. 39(2), pages 241-51, March.
- Kelejian, Harry H, 1974. "Random Parameters in a Simultaneous Equation Framework: Identification and Estimation," Econometrica, Econometric Society, vol. 42(3), pages 517-27, May.
- Phillips, P C B, 1980. "Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume," Review of Economic Studies, Wiley Blackwell, vol. 47(1), pages 183-224, January.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or ().
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.