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An Instrumental Variable Approach to Full Information Estimators for Linear and Certain Nonlinear Econometric Models
Jerry A. Hausman
Abstract
FIML is shown to be an instrumental variables estimator where the instruments embody all the over-identifying a priori restrictions. FIML is compared to the two alternative estimators 3SLS and full information instrumental variables 3SLS differs from FIML in not using all a priori restrictions in forming the instruments. The full information instrumental variables estimator when iterated to convergence yields the FIML estimate. For the case of nonlinearity in the parameters a nonlinear 3SLS and a nonlinear full information instrumental variables estimator are proposed. Both estimators are asymptotically efficient.
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