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

• 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
• Institution: Singapore Management University

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...