Econometrica: Jul 1982, Volume 50, Issue 4
Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator
Naoto Kunitomo, T. W. Anderson, Takamitsu SawaThe distributions of the Limited Information Maximum Likelihood estimator for the coefficient of one endogenous variable are evaluated numerically. Tables are given for enough values of the parameters to cover all cases of interests. Comparisons are made with the Two-Stage Least Squares estimator.
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