Comment on 'Instrumental Variables and Maximum Likelihood'

Theo Dijkstra and Tom Wansbeek

Annals of Economics and Statistics, 1990, issue 17, 205-209

Abstract: Holly and Magnus [1988] show that the IV estimator in a linear equation is asymptotically as efficient as the ML estimator in the model that is obtained by "completing" this equation to a complete equations system. Their proof is long and involves many matrix manipulations. A simpler approach is provided here.

Date: 1990
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