COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 626

"On the Exact Distribution of LIML"

Peter C.B. Phillips

March 1982

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.

See CFP 589