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Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator

Anderson, Theodore W. and Kunitomo, Naoto and Sawa, Takamitsu (1980) Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator. Social Science Working Paper, 338. California Institute of Technology , Pasadena, CA. (Unpublished)

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The distributions of the Limited Information Maximum Likelihood estimator for the coefficient of one endogenous variable are evaluated numerically. Tables are given for enough values of the parameters to cover all cases of interests. Comparisons are made with the Two-Stage Least Squares estimator.

Item Type:Report or Paper (Working Paper)
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Additional Information:This work was supported by National Science Foundation Grant SES79-13976 at the Institute for Mathematical Studies in the Social Sciences, Stanford University. While this paper was being completed, the first author was a Sherman Fairchild Distinguished Scholar at the California Institute of Technology and a Visiting Scholar at the Center for Advanced Study in the Behavioral Sciences. Published as Anderson, Theodore W., Naoto Kunitomo, and Takamitsu Sawa. "Evaluation of the distribution function of the limited information maximum likelihood estimator." Econometrica: Journal of the Econometric Society (1982): 1009-1027.
Group:Social Science Working Papers
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Stanford Institute for Mathematical Studies in the Social SciencesUNSPECIFIED
Subject Keywords:Estimators, Coefficients, Maximum likelihood estimation, Statistical estimation, Maximum likelihood estimators, Variable coefficients, Covariance matrices, Distribution functions, Mathematical independent variables, Estimate reliability
Series Name:Social Science Working Paper
Issue or Number:338
Record Number:CaltechAUTHORS:20171009-155524291
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Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:82238
Deposited By: Jacquelyn Bussone
Deposited On:10 Oct 2017 17:30
Last Modified:03 Oct 2019 18:52

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