Further consequences of viewing LIML as an iterated Aitken estimator.
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Publication:1586545
DOI10.1016/S0304-4076(99)00083-4zbMath1079.62555WikidataQ126588396 ScholiaQ126588396MaRDI QIDQ1586545
Publication date: 2000
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(99)00083-4
2SLS; Iterated GLS; Limited information; \(\chi^2\) and Student-\(t\) distribution; Finite sample; Simultaneity
62P20: Applications of statistics to economics
Cites Work
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- The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables