Improving the Limited Information Maximum Likelihood Estimator When the Disturbances are Small
Kimio Morimune · Journal of the American Statistical Association · 1978
The limited information maximum likelihood (LIML) estimator is shown to be inadmissible in terms of asymptotic expansions of the distributions of the estimators. The LIML estimator is improved by combining it linearly with the two-stage or the ordinary least squares estimator.