THE COVARIANCE MATRIX OF THE LIMITED INFORMATION ESTIMATOR AND THE IDENTIFICATION TEST: COMMENT,
CENTER FOR NAVAL ANALYSES ARLINGTON VA
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In their article, 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 question the interpretation of a statistic used in the past to test overidentifying restrictions. The present paper comments on this matter.
- Statistics and Probability