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An Instrumental Variable Approach to Full Information Estimators for Linear and Certain Nonlinear Econometric Models
Jerry A. Hausman
Vol. 43, No. 4 (Jul., 1975), pp. 727-738
Published by: The Econometric Society
Stable URL: http://www.jstor.org/stable/1913081
Page Count: 12
You can always find the topics here!Topics: Instrumental variables estimation, Estimators, Consistent estimators, Instrumental variables, Maximum likelihood estimation, Mathematical procedures, Preliminary estimates, Mathematical independent variables, A priori knowledge, Econometrics
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FIML is shown to be an instrumental variables estimator where the instruments embody all the over-identifying a priori restrictions. FIML is compared to the two alternative estimators 3SLS and full information instrumental variables 3SLS differs from FIML in not using all a priori restrictions in forming the instruments. The full information instrumental variables estimator when iterated to convergence yields the FIML estimate. For the case of nonlinearity in the parameters a nonlinear 3SLS and a nonlinear full information instrumental variables estimator are proposed. Both estimators are asymptotically efficient.
Econometrica © 1975 The Econometric Society