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Journal Article

An Instrumental Variable Approach to Full Information Estimators for Linear and Certain Nonlinear Econometric Models

Jerry A. Hausman
Econometrica
Vol. 43, No. 4 (Jul., 1975), pp. 727-738
Published by: The Econometric Society
DOI: 10.2307/1913081
Stable URL: http://www.jstor.org/stable/1913081
Page Count: 12
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
An Instrumental Variable Approach to Full Information Estimators for Linear and Certain Nonlinear Econometric Models
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Abstract

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.

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