Title of article
Origins of the limited information maximum likelihood and two-stage least squares estimators
Author/Authors
Anderson، نويسنده , , T.W.، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2005
Pages
16
From page
1
To page
16
Abstract
Theil, Basmann, and Sargan are often credited with the development of the two-stage least squares (TSLS) estimator of the coefficients of one structural equation in a simultaneous equations model. However, Anderson and Rubin had earlier derived the asymptotic distribution of the limited information maximum likelihood (LIML) estimator by finding the asymptotic distribution of what is essentially the TSLS estimator.
Keywords
Limited information maximum likelihood estimator , Two-stage least squares estimator , Asymptotic distributions
Journal title
Journal of Econometrics
Serial Year
2005
Journal title
Journal of Econometrics
Record number
1558749
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