Add to ORKGIt is shown that the exact finite sample distribution of the limited information maximum likelihood (LIML) estimator in a general and leading single equation case is multivariate Cauchy. When the LIML estimator utilizes a known error covariance matrix (LIMLK) it is proved that the same Cauchy distribution still applies. The corresponding result for the instrumental variable (IV) estimator is a form of multivariate t density where the degrees of freedom depend on the number of instruments
The use of many moment conditions improves the asymptotic e ¢ ciency of the instrumental variables e...
When the errors are normally independently distributed with equal variance, the maximum likelihood e...
When an econometric structural equation includes two endogenous variables and their coefficients are...
It is shown that the exact finite sample distribution of the limited information maximum likelihood (...
It is shown that the exact distribution of the LIML estimator in a general and leading single equati...
This paper derives the exact probability density function of the limited information maximum likelih...
In a recent article (1984a) Phillips showed that the distribution of the limited information maximum...
The standard Cauchy distribution is completely characterized by theproperty that it has no atmos and...
We consider the estimation of the coefficients of a linear structural equation in a simultaneous equ...
We consider the estimation of the coefficients of a linear structural equation in a simultaneous equ...
In the context of a single linear structural equation under classical assumptions, we derive the joi...
SUMMARY. In this paper we consider the general problem of estimation and inference in stochastic sim...
We consider the estimation of coefficients of a structural equation with many instrumental variables...
A method of extracting marginal density approximations using the multivariate version of the Laplace...
We consider the estimation of the coefficients of a linear structural equation in a si-multaneous eq...
The use of many moment conditions improves the asymptotic e ¢ ciency of the instrumental variables e...
When the errors are normally independently distributed with equal variance, the maximum likelihood e...
When an econometric structural equation includes two endogenous variables and their coefficients are...
It is shown that the exact finite sample distribution of the limited information maximum likelihood (...
It is shown that the exact distribution of the LIML estimator in a general and leading single equati...
This paper derives the exact probability density function of the limited information maximum likelih...
In a recent article (1984a) Phillips showed that the distribution of the limited information maximum...
The standard Cauchy distribution is completely characterized by theproperty that it has no atmos and...
We consider the estimation of the coefficients of a linear structural equation in a simultaneous equ...
We consider the estimation of the coefficients of a linear structural equation in a simultaneous equ...
In the context of a single linear structural equation under classical assumptions, we derive the joi...
SUMMARY. In this paper we consider the general problem of estimation and inference in stochastic sim...
We consider the estimation of coefficients of a structural equation with many instrumental variables...
A method of extracting marginal density approximations using the multivariate version of the Laplace...
We consider the estimation of the coefficients of a linear structural equation in a si-multaneous eq...
The use of many moment conditions improves the asymptotic e ¢ ciency of the instrumental variables e...
When the errors are normally independently distributed with equal variance, the maximum likelihood e...
When an econometric structural equation includes two endogenous variables and their coefficients are...