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Published August 1980 | Version Submitted
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Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator

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Abstract

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.

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.

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Eprint ID
82238
Resolver ID
CaltechAUTHORS:20171009-155524291

Related works

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http://resolver.caltech.edu/CaltechAUTHORS:20171117-160809627 (URL)

Funding

NSF
SES79-13976
Stanford Institute for Mathematical Studies in the Social Sciences

Dates

Created
2017-10-10
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Updated
2019-10-03
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Caltech groups
Social Science Working Papers
Series Name
Social Science Working Paper
Series Volume or Issue Number
338