Some consequences of viewing LIML as an iterated Aitken estimator

Publication Type:
Journal Article
Economics Letters, 1979, 3 (4), pp. 369 - 372
Issue Date:
Filename Description Size
Thumbnail2009004420OK.pdf211.19 kB
Adobe PDF
Full metadata record
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.
Please use this identifier to cite or link to this item: