Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator

Creators: Anderson, Theodore Wilbur; Kunitomo, Naoto; Sawa, Takamitsu

Abstract

The 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.

Additional Information

© 1982 Econometric Society. This paper is a revision of Technical Report No. 319, the Economics Series, Institute for Mathematical Studies in the Social Sciences (IMSSS), Stanford University. Some details of the original paper were deleted at the suggestion of the co-editor of this journal. The authors thank the referees, the co-editor, and Yoshihiko Tsukuda for their comments on the original paper. The research was supported by National Science Foundation Grant SES 79-13976 at the Institute for Mathematical Studies in the Social Sciences, Stanford University. While the original paper was being completed, the first author was a Sherman Fairchild Distinguished Scholar at the California Institute of Technology and a Visiting Scholar at the Center for Advanced Study in the Behavioral Sciences. Formerly SSWP 338.

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