This paper contains the derivation of the exact finite sample distribution function of the LIML identifiability test statistic associated with an overidentified nondynamic structural equation which contains two endogenous variables. Some of the properties of the moments of this statistic are also investigated.
MLA
McDonald, James B.. “The Exact Finite Sample Distribution Function of the Limited Information Maximum Likelihood Identifiability Test Statistic.” Econometrica, vol. 40, .no 6, Econometric Society, 1972, pp. 1109-1119, https://www.jstor.org/stable/1913858
Chicago
McDonald, James B.. “The Exact Finite Sample Distribution Function of the Limited Information Maximum Likelihood Identifiability Test Statistic.” Econometrica, 40, .no 6, (Econometric Society: 1972), 1109-1119. https://www.jstor.org/stable/1913858
APA
McDonald, J. B. (1972). The Exact Finite Sample Distribution Function of the Limited Information Maximum Likelihood Identifiability Test Statistic. Econometrica, 40(6), 1109-1119. https://www.jstor.org/stable/1913858
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