CFDP 658

The Exact Distribution of LIML: I


Publication Date: December 1982

Pages: 23


It is shown that the exact finite sample distribution of the limited information maximum likelihood (LIML) estimator in a general and leading single equation case is multivariate Cauchy. When the LIML estimator utilizes a known error covariance matrix (LIMLK) it is proved that the same Cauchy distribution still applies. The corresponding result for the instrumental variable (IV) estimator is a form of multivariate t density where the degrees of freedom depend on the number of instruments.

See CFP: 589


Extended version of CFDP 626)