Properties of t ratios associated with the limited information maximum likelihood, two-stage least squares, and ordinary least squares estimators in a structural form estimation are studied. The existence of moments of these t ratios, including the limited information maximum likelihood form, is...

The author demonstrates that despite variables that are integrated, the fundamental issues on structural equation modeling raised by the Cowles Commission remain valid and standard estimation and testing procedures can still be applied. A basic framework linking the multiple time series model...