Document Type
Discussion Paper
Publication Date
3-1-1982
CFDP Number
626
CFDP Pages
15
Abstract
It is shown that the exact distribution of the LIML estimator in a general and leading single equation case is multivariate Cauchy. The corresponding result for the IV estimator is a form of multivariate t density where the degrees of freedom depend on the number of instruments.
Recommended Citation
Phillips, Peter C.B., "On the Exact Distribution of LIML" (1982). Cowles Foundation Discussion Papers. 862.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/862