LIML, K-Class, and MELO Estimation

The SYSLIN Procedure

LIML, K-Class, and MELO Estimation

To obtain limited information maximum likelihood, general K-class, or minimum expected loss estimates, use the ENDOGENOUS, INSTRUMENTS, and MODEL statements as in the 2SLS case but specify the LIML, K=, or MELO option instead of 2SLS in the PROC SYSLIN statement. The following statements show this for K-class estimation.


   proc syslin data=in k=.5;
      endogenous  p;
      instruments y u s;
      demand: model q = p y s;
      supply: model q = p u;
   run;

For more information on these estimation methods see the "Estimation Methods" in the "Details" section and consult econometrics textbooks.

Chapter Contents
Previous
Next
Top