The Exact Distribution of LIML: II

Peter Phillips

No 663, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper derives the exact probability density function of the limited information maximum likelihood (LIML) estimator of the coefficient vector of the endogenous variables in a structural equation containing n+1 endogenous variables and L >= 1 degrees of overidentification. This generalizes the presently known results for the two endogenous variable case (n+1 = 2) and the leading case analyses in the author's earlier paper (1982). Upon appropriate symbolic translation the results may be applied directly to the maximum likelihood estimator in the multivariate linear functional relationship.

Pages: 23 pages
Date: 1983-02
Note: CFP 618.
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Published in International Economic Review (February 1985), 26(1): 21-36

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Related works:
Journal Article: The Exact Distribution of LIML: II (1985)
Journal Article: The Exact Distribution of LIML: I (1984)
Working Paper: The Exact Distribution of LIML: I (1982)
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