The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables

The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables

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 der...

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Main Authors: Mariano, Roberto S., Sawa, Takamitsu
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 1972
Subjects:
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/155
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Institution: Singapore Management University
Language: English
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spelling sg-smu-ink.soe_research-11542010-09-23T05:48:03Z The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables Mariano, Roberto S. Sawa, Takamitsu 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. 1972-01-01T08:00:00Z text https://ink.library.smu.edu.sg/soe_research/155 info:doi/10.1080/01621459.1972.10481219 Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Econometrics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Econometrics
spellingShingle Econometrics
Mariano, Roberto S.
Sawa, Takamitsu
The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables
description 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.
format text
author Mariano, Roberto S.
Sawa, Takamitsu
author_facet Mariano, Roberto S.
Sawa, Takamitsu
author_sort Mariano, Roberto S.
title The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables
title_short The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables
title_full The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables
title_fullStr The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables
title_full_unstemmed The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables
title_sort exact finite-sample distribution of the limited-information maximum likelihood estimator in the case of two included endogenous variables
publisher Institutional Knowledge at Singapore Management University
publishDate 1972
url https://ink.library.smu.edu.sg/soe_research/155
_version_ 1770569042037309440

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