The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables
The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables
复制标题
含两个内生变量情况下有限信息最大似然估计的精确有限样本分布
DOI：
10.1080/01621459.1972.10481219
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发表时间：
1972
影响因子：
3.7
通讯作者：
T. Sawa
中科院分区：
文献类型：
--
作者：
R. Mariano;T. Sawa
摘要本文研究了当被估计的结构方程包含两个内生变量且在完全线性随机方程组中可辨识时，有限信息极大似然估计量的精确有限样本分布。所导出的密度函数以复杂形式的双无穷级数表示，揭示了一个重要的事实，即对于模型中参数的任意值，LIML估计量不具有大于或等于1的阶矩
Abstract This article is concerned with the exact finite-sample distribution of the limited-information maximum likelihood estimator when the structural equation being estimated contains two endogenous variables and is identifiable in a complete system of linear stochastic equations. The density function derived, which is represented as a doubly infinite series of a complicated form, reveals the important fact that for arbitrary values of the parameters in the model, the LIML estimator does not possess moments of order greater than or equal to one