Title
The Covariance Matrix of the Limited Information Estimator and the Identification Test: Comment
Date of Original Version
9-1972
Type
Response or Comment
Abstract or Table of Contents
IN THEIR ARTICLE [5], Liu and Breen propose a new estimator of the large-sample asymptotic covariance matrix for the limited information maximum likelihood estimator in simultaneous equations, and express surprise that their estimator is different from the estimator proposed by Chernoff and Divinsky [1]. Additionally, they question the interpretation of a statistic used in the past to test over-identifying restrictions.
Comments
Econometrica, Vol. 40, No. 5 (Sep., 1972), pp. 901-903
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