Topic summary
Limited information maximum likelihood
Extracted from the Wikipedia article Simultaneous equations model.
Limited information maximum likelihood (LIML)
The “limited information” maximum likelihood method was suggested by M. A. Girshick in 1947, and formalized by T. W. Anderson and H. Rubin in 1949. It is used when one is interested in estimating a single structural equation at a time (hence its name of limited information), say for observation i: