A Note on Instrumental Variables and Maximum Likelihood Estimation Procedures

Alberto Holly and Jan Magnus ()

Annals of Economics and Statistics, 1988, issue 10, 121-138

Abstract: This paper presents two alternative formulations of the instrumental variables (IV) procedure. One of the formulations, termed the "completed model", serves to show, in a general way, that the IV estimator of a vector of regression parameter is asymptotically as efficient as the maximum likelihood estimator, under the hypothesis of normality. The expressions for the information matrix and its inverse are obtained. The calculation of this inverse requires some new results of matrix algebra that are demonstrated in an appendix.

Date: 1988
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Citations: View citations in EconPapers (8)

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Related works:
Working Paper: A note on instrumental variables and maximum likelihood estimation procedures (1990)
Working Paper: A note on instrumental variables and maximum likelihood estimation procedures (1988)
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1988:i:10:p:121-138

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