On the Exact Distribution of LIML (revised and extended, see CFDP 658)

Peter Phillips

No 626, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: It is shown that the exact distribution of the LIML estimator in a general and leading single equation case is multivariate Cauchy. The corresponding result for the IV estimator is a form of multivariate t density where the degrees of freedom depend on the number of instruments.

Pages: 14 pages
Date: 1982-03
Note: CFP 589.
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Published in International Economic Review (February 1984), 25(1): 249-261

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