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Further evidence on LIML/ME estimates |
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| Authors: | James F Meisner |
| Institution: | University of Chicago, Chicago, IL 60637, USA |
| Abstract: | A simulation experiment suggests that LIML based on maximum entropy (ME) moments performs well in the case of correlated exogenous variables even when the sample is undersized. The asymptotic standard errors of LIML/ME are evaluated for the first time and appear to be accurate even in moderate sized samples. |
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