Report Number: CS-TR-73-339
Institution: Stanford University, Department of Computer Science
Title: Computation of the limited information maximum likelihood estimator.
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.