On the Existence of the Exact Moments of Three LIML Structural Variance Estimators for the Case of Two Included Endogenous Variables

摘要: Abstract This article derives the exact finite sample density functions of three alternative LIML estimators variance error term in a structural equation containing two endogenous (GΔ = 2) variables contained system G(G ≥ nondynamic equations. For case considered, none define moments positive integer order. It is also demonstrated that, corresponding to fixed size, distribution function estimator considered by Srivastava [31] approaches chi-square as value concentration parameter grows indefinitely large.