Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Home> Publications> Econometrica>The Covariance Matrix of the Limited Information Estimator and the Identification Test

Econometrica: Apr, 1969, Volume 37, Issue 2

The Covariance Matrix of the Limited Information Estimator and the Identification Test

https://www.jstor.org/stable/1913532
p. 222-227

Ta-Chung Liu, William J. Breen

This paper discusses consistent estimators for the covariance matrix of limited information estimators of simultaneous equation models. It also examines the statistical test of a priori restrictions on the coefficients of simultaneous equation models.

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