Article ID Journal Published Year Pages File Type
9555314 Journal of Econometrics 2005 16 Pages PDF
Abstract
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.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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