Advanced Search
MyIDEAS: Login

The Exact Distribution of LIML: II

Contents:

Author Info

Abstract

This 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 Info

If 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.
File URL: http://cowles.econ.yale.edu/P/cd/d06b/d0663.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 663.

as in new window
Length: 23 pages
Date of creation: Feb 1983
Date of revision:
Publication status: Published in International Economic Review (February 1985), 26(1): 21-36
Handle: RePEc:cwl:cwldpp:663

Note: CFP 618.
Contact details of provider:
Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
Phone: (203) 432-3702
Fax: (203) 432-6167
Web page: http://cowles.econ.yale.edu/
More information through EDIRC

Order Information:
Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

Related research

Keywords:

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
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.:
as in new window
  1. 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.
  2. Mariano, Roberto S, 1977. "Finite Sample Properties of Instrumental Variable Estimators of Structural Coefficients," Econometrica, Econometric Society, vol. 45(2), pages 487-96, March.
  3. Kelejian, Harry H, 1974. "Random Parameters in a Simultaneous Equation Framework: Identification and Estimation," Econometrica, Econometric Society, vol. 42(3), pages 517-27, May.
  4. Fuller, Wayne A, 1977. "Some Properties of a Modification of the Limited Information Estimator," Econometrica, Econometric Society, vol. 45(4), pages 939-53, May.
  5. 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.
  6. 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.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cwl:cwldpp:663. See general 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: (Glena Ames).

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.