CFDP 626

On the Exact Distribution of LIML

Author(s): 

Publication Date: March 1982

Pages: 15

Abstract: 

It is shown that the exact distribution of the LIML estimator in a general and leading single equation case is multivariate Cauchy. The corresponding result for the IV estimator is a form of multivariate t density where the degrees of freedom depend on the number of instruments.

See CFP: 589