Report Number: CS-TR-73-339
Institution: Stanford University, Department of Computer Science
Title: Computation of the limited information maximum likelihood
Author: Dent, Warren T.
Author: Golub, Gene H.
Date: February 1973
Abstract: Computation of the Limited Information Maximum Likelihood
Estimator (LIMLE) of the set of coefficients in a single
equation of a system of interdependent relations is
sufficiently complicated to detract from other potentially
interesting properties. Although for finite samples the LIMLE
has no moments, asymptotically it remains normally
distributed and retains other properties associated with
maximum likelihood. The most extensive application of the
estimator has been made in the Brookings studies. We believe
that current methods of estimation are clumsy, and present a
numerically stable estimation schema based on Householder
transformations and the singular value decomposition. The
analysis permits a convenient demonstration of equivalence
with the Two Stage Least Squares Estimator (TSLSE) in the
instance of just identification.