Econometrica Vol. 40 No. 5 1972
The Covariance Matrix of the Limited Information Estimator and the Identification Test: Comment
Abstract
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.
- DOI
- 10.2307/1912077
- Volume
- 40
- Issue
- 5
- Pages
- 901
- Sources
- bibtex:phds-export.bib openalex crossref