The Exact Distribution of LIML: I
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Publication:3809044
DOI10.2307/2648878zbMath0659.62059MaRDI QIDQ3809044
Publication date: 1984
Published in: International Economic Review (Search for Journal in Brave)
Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d06/d0658.pdf
multivariate Cauchy distribution; central Wishart matrix; limited information maximum likelihood (LIML) estimator; smallest latent roots; known error covariance matrix; matrix ratio of two independent Wishart matrices; simultaneous equations econometric model
62H10: Multivariate distribution of statistics
62P20: Applications of statistics to economics
62E15: Exact distribution theory in statistics
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