Origins of the limited information maximum likelihood and two-stage least squares estimators
نویسنده
چکیده
Theil, Basmann, and Sargan are often credited with the development of the two-stage least squares (TSLS) estimator of the coefficients of one structural equation in a simultaneous equations model. However, Anderson and Rubin had earlier derived the asymptotic distribution of the limited information maximum likelihood (LIML) estimator by finding the asymptotic distribution of what is essentially the TSLS estimator. r 2004 Elsevier B.V. All rights reserved. JEL classification: C13; C30
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