caa a22 4500 386371555 CHVBK 20180307112000.0 cr unu---uuuuu 161130e198912 xx s 000 0 eng 10.1017/S0266466600012585 doi S0266466600012585 pii (NATIONALLICENCE)cambridge-10.1017/S0266466600012585 Ancillarity and the Limited Information Maximum-Likelihood Estimation of a Structural Equation in a Simultaneous Equation System [Elektronische Daten] The concepts of the curved exponential family of distributions and ancillarity are applied to estimation problems of a single structural equation in a simultaneous equation model, and the effect of conditioning on ancillary statistics on the limited information maximum-likelihood (LIML) estimator is investigated. The asymptotic conditional covariance matrix of the LIML estimator conditioned on the second-order asymptotic maximal ancillary statistic is shown to be efficiently estimated by Liu and Breen's formula. The effect of conditioning on a second-order asymptotic ancillary statistic, i.e., the smallest characteristic root associated with the LIML estimation, is analyzed by means of an asymptotic expansion of the distribution as well as the exact distribution. The smallest root helps to give an intuitively appealing measure of precision of the LIML estimator. Copyright © Cambridge University Press 1989 Hosoya Yuzo Tohoku University Tsukuda Yoshihiko Tohoku University Terui Nobuhiko Yamagata University Econometric Theory Cambridge University Press 5/3(1989-12), 385-404 0266-4666 5:3<385 1989 5 ECT https://doi.org/10.1017/S0266466600012585 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1017/S0266466600012585 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Hosoya Yuzo Tohoku University NATIONALLICENCE 700 1- Tsukuda Yoshihiko Tohoku University NATIONALLICENCE 700 1- Terui Nobuhiko Yamagata University NATIONALLICENCE 773 0- Econometric Theory Cambridge University Press 5/3(1989-12), 385-404 0266-4666 5:3<385 1989 5 ECT CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge