Title

On the Exact Distribution of LIML

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.

This document is currently not available here.

Share

COinS