Comment on 'Instrumental Variables and Maximum Likelihood'

Holly and Magnus [1988] show that the IV estimator in a linear equation is asymptotically as efficient as the ML estimator in the model that is obtained by "completing" this equation to a complete equations system. Their proof is long and involves many matrix manipulations. A simpler approach is provided here.

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Year of publication:	1990
Authors:	DIJKSTRA, Theo ; WANSBEEK, Tom
Published in:	Annales d'Economie et de Statistique. - École Nationale de la Statistique et de l'Admnistration Économique (ENSAE). - 1990, 17, p. 205-209
Publisher:	École Nationale de la Statistique et de l'Admnistration Économique (ENSAE)

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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