The Exact Distribution of LIML: II
证明在一般单方程情形下，有限信息最大似然估计量的精确有限样本分布是多元柯西分布，即使已知误差协方差矩阵也适用；而工具变量估计量对应多元t分布，自由度取决于工具变量数。
It is shown that the exact finite sample distribution of the limited information maximum likelihood (LIML) estimator in a general and leading single equation case is multivariate Cauchy. When the LIML estimator utilizes a known error covariance matrix (LIMLK) it is proved that the same Cauchy distribution still applies. The corresponding result for the instrumental variable (IV) estimator is a form of multivariate t density where the degrees of freedom depend on the number of instruments.(This abstract was borrowed from another version of this item.)