Some consequences of viewing LIML as an iterated Aitken estimator

Publisher:
Elsevier
Publication Type:
Journal Article
Citation:
Economics Letters, 1979, 3 (4), pp. 369 - 372
Issue Date:
1979-01
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This note demonstrates that LIML can be formulated as Zellner's SUR estimator. The result provides an analytic formula for LIML and its derived reduced form estimator, expresses LIML as the sum of 2SLS and a correction factor and facilities exogeneity testing.
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