Origins of the limited information maximum likelihood and two-stage least squares estimators

Theil, Basmann, and Sargan are often credited with the development of the two-stage least squares (TSLS) estimator of the coefficients of one structural equation in a simultaneous equations model. However, Anderson and Rubin had earlier derived the asymptotic distribution of the limited information...

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Bibliographic Details
Published in:Journal of econometrics 2005-07, Vol.127 (1), p.1-16
Main Author: Anderson, T.W.
Format: Article
Language:English
Subjects:
Applications
Asymptotic distributions
Distribution
Distribution theory
Econometrics
Estimating techniques
Estimation
Exact sciences and technology
Information
Insurance, economics, finance
Least squares method
Limited information maximum likelihood estimator
Mathematical foundations
Mathematical methods
Mathematics
Model testing
Probability and statistics
Sciences and techniques of general use
Statistical methods
Statistics
Studies
Two-stage least squares estimator
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Summary:Theil, Basmann, and Sargan are often credited with the development of the two-stage least squares (TSLS) estimator of the coefficients of one structural equation in a simultaneous equations model. However, Anderson and Rubin had earlier derived the asymptotic distribution of the limited information maximum likelihood (LIML) estimator by finding the asymptotic distribution of what is essentially the TSLS estimator.
ISSN:0304-4076
1872-6895
DOI:10.1016/j.jeconom.2004.09.012