The numerical values of some key parameters in econometric models

In the case of two endogenous variables, exogenous predetermined variables, and normally distributed disturbances, the distributions of the Two-Stage Least Squares (TSLS) and Limited Information Maximum Likelihood (LIML) estimators can be compared on the basis of three key parameters: the non-centra...

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Bibliographic Details
Published in:Journal of econometrics 1983-02, Vol.21 (2), p.229-243
Main Authors: Anderson, T.W., Morimune, Kimio, Sawa, Takamitsu
Format: Article
Language:English
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Summary:In the case of two endogenous variables, exogenous predetermined variables, and normally distributed disturbances, the distributions of the Two-Stage Least Squares (TSLS) and Limited Information Maximum Likelihood (LIML) estimators can be compared on the basis of three key parameters: the non-centrality parameter, a standardization of the structural coefficient, and the number of excluded exogenous variables. In this paper the values of these parameters are estimated in eleven structural equations from various actual econometric models. The distribution functions of the normalized TSLS and LIML estimators are given for the first two key parameters set at approximately their trimmed means, and the third at its median.
ISSN:0304-4076
1872-6895
DOI:10.1016/0304-4076(83)90015-5