s********l
发帖数: 439 | 1 what are the basic difference between 3SLS and FIML?
Thanks | c*****i
发帖数: 51 | 2 FIML use idea of MLE s.t. zero blocks restrictions
3SLS use the idea of GLS, weighted LS
or you can think of 3SLS as GMM, with moment E[X'*(Y-Z*delta)]
【在 s********l 的大作中提到】
: what are the basic difference between 3SLS and FIML?
: Thanks
| c**p
发帖数: 2 | 3 FIML is asymp effiecient if there is the normality assumption--reach CR bound.
3SLS is an extention of IV--2SLS. ---It should definitely consistent.---The
idea of using 3SLS is the stacked simultaneous equations.
Compared with the OLS equation-by-equation, when stacking for the equations,
more information are used now-- that is why we call it Full Information.
FIML & 3SLS are asymp equivaleint if there is no error covariance
resitriction.
【在 c*****i 的大作中提到】
: FIML use idea of MLE s.t. zero blocks restrictions
: 3SLS use the idea of GLS, weighted LS
: or you can think of 3SLS as GMM, with moment E[X'*(Y-Z*delta)]
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