Origins of the limited information maximum likelihood and two-stage least squares estimators

被引：34

作者：

Anderson, TW

机构：

[1] Stanford Univ, Dept Econ, Stanford, CA 94305 USA

[2] Stanford Univ, Dept Stat, Stanford, CA 94305 USA

来源：

JOURNAL OF ECONOMETRICS | 2005年 / 127卷 / 01期

关键词：

limited information maximum likelihood estimator; two-stage least squares estimator; asymptotic distributions;

D O I：

10.1016/j.jeconom.2004.09.012

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (c) 2004 Elsevier B.V. All rights reserved.

引用

页码：1 / 16

页数：16

共 11 条

[1] ESTIMATION OF THE PARAMETERS OF A SINGLE EQUATION IN A COMPLETE SYSTEM OF STOCHASTIC EQUATIONS
ANDERSON, TW
RUBIN, H
[J]. ANNALS OF MATHEMATICAL STATISTICS, 1949, 20 (01): : 46 - 63
[2] ASYMPTOTIC THEORY FOR PRINCIPAL COMPONENT ANALYSIS
ANDERSON, TW
[J]. ANNALS OF MATHEMATICAL STATISTICS, 1963, 34 (01): : 122 - &
[3] THE ASYMPTOTIC PROPERTIES OF ESTIMATES OF THE PARAMETERS OF A SINGLE EQUATION IN A COMPLETE SYSTEM OF STOCHASTIC EQUATIONS
ANDERSON, TW
RUBIN, H
[J]. ANNALS OF MATHEMATICAL STATISTICS, 1950, 21 (04): : 570 - 582
[4] ANDERSON TW, 1945, THESIS PRINCETON U
[5] [Anonymous], ECONOMETRICA
[6] A GENERALIZED CLASSICAL METHOD OF LINEAR-ESTIMATION OF COEFFICIENTS IN A STRUCTURAL EQUATION
BASMANN, RL
[J]. ECONOMETRICA, 1957, 25 (01) : 77 - 83
[7] KOOPMANS TC, 1950, STAT METHODS DYNAMIC
[8] Theil H, 1953, ESTIMATION SIMULATAN
[9] Theil H., 1961, EC FORECASTS POLICY
[10] Theil H., 1954, B INT STAT I, V34, P122

← 1 2 →