Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9555314 | Journal of Econometrics | 2005 | 16 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
T.W. Anderson,