COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 663

"The Exact Distribution of LIML: II"

Peter C.B. Phillips

February 1983

This paper derives the exact probability density function of the limited information maximum likelihood (LIML) estimator of the coefficient vector of the endogenous variables in a structural equation containing n+1 endogenous variables and L > 1 degrees of overidentification. This generalizes the presently known results for the two endogenous variable case (n+1 = 2) and the leading case analyses in the author’s earlier paper (1982). Upon appropriate symbolic translation the results may be applied directly to the maximum likelihood estimator in the multivariate linear functional relationship.

See CFP 618