ABSTRACT
In this chapter we consider the general problem of estimation and inference in stochastic simultaneous equations. 1 We introduce a class of modified limited information maximum likelihood estimators and show that these estimators possess finite moments. One of these estimators is asymptotically unbiased to order σ2 and a second one is minimum mean square to order σ4. Based on the unbiased estimator, asymptotic tests of hypotheses are proposed. Simulation results indicate that these tests perform better compared to traditional tests.
