On the Exact Distribution of LIML (revised and extended, see CFDP 658)

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.

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Year of publication:	1982-03
Authors:	Phillips, Peter C.B.
Institutions:	Cowles Foundation for Research in Economics, Yale University

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	CFP 589. Published in International Economic Review (February 1984), 25(1): 249-261 The price is None Number 626 14 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004990701