LIMLLimited Information Maximum Likelihood
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LIML estimates adopted here are best suited for this purpose as they have robust and powerful small sample properties.
In Table 3 we try to ascertain this by estimating equation 1 using OLS and LIML Fuller IV methods.
Table 4 presents the coefficients (not marginal effects) and t-statistics for the key variables of the screening models, where each column represents separate implementations of our discount rate-screening LIML model.
The identity is another structural relation and its role is important in the distribution theory because it provides a magnet for an alternative centering, pulling consistent estimators like IV and LIML away from the relevant parameter in the behavioral relation and thereby naturally inducing a bimodality.
Best RSS estimates of 2SLS, LIML, and 3SLS are found in the feebly correlated region which is consistent with the theory.
698753 Level of LIML correlation N=15 N=25 N=40 r<-0.
3) Hence, inference that is based on the CLR test takes into consideration the strength of the instruments, and should therefore always be used when employing 2SLS or LIML estimation.
Thus, one does not need to examine the first-stage F-stat when implementing 2SLS and LIML if the CLR test is used as an alternative to the t-statistic.
However, there is a downward bias of the coefficient of LICENSE in the OLS estimates compared with the IV and LIML estimates.
These effects do not change whether one uses an IV estimator or an LIML estimator.
The empirical results gave strong support to the new econometric methodology in terms of the plausibility of the LIML coefficient estimates and the performance of the fitted equations in post-sample predictions in comparison with least squares.
ivreg2: Stata Module for Extended Instrumental Variables/2SLS, GMM and AC/HAC, LIML and k-class Regression" ]accessed on May 3, 2011].