Carnegie Mellon University
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The Covariance Matrix of the Limited Information Estimator and the Identification Test: Comment

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journal contribution
posted on 1971-04-01, 00:00 authored by Franklin M. Fisher, Joseph B. Kadane
IN THEIR ARTICLE [5], Liu and Breen propose a new estimator of the large-sample asymptotic covariance matrix for the limited information maximum likelihood estimator in simultaneous equations, and express surprise that their estimator is different from the estimator proposed by Chernoff and Divinsky [1]. Additionally, they question the interpretation of a statistic used in the past to test over-identifying restrictions.




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