Ancillarity and the Limited Information Maximum-Likelihood Estimation of a Structural Equation in a Simultaneous Equation System
辅助性与联立方程中单个结构方程的有限信息最大似然估计
The concepts of the curved exponential family of distributions and ancillarity are applied to estimation problems of a single structural equation in a simultaneous equation model, and the effect of conditioning on ancillary statistics on the limited information maximum-likelihood (LIML) estimator is investigated. The asymptotic conditional covariance matrix of the LIML estimator conditioned on the second-order asymptotic maximal ancillary statistic is shown to be efficiently…