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.
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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)
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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
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- 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.
- 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.
- 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.
- Mariano, Roberto S, 1977. "Finite Sample Properties of Instrumental Variable Estimators of Structural Coefficients," Econometrica, Econometric Society, vol. 45(2), pages 487-96, March.
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