Econometrica: Jul, 1975, Volume 43, Issue 4

An Instrumental Variable Approach to Full Information Estimators for Linear and Certain Nonlinear Econometric Models

https://doi.org/0012-9682(197507)43:4<727:AIVATF>2.0.CO;2-O
p. 727-738

Jerry A. Hausman

FIML is shown to be an instrumental variables estimator where the instruments embody all the over-identifying a priori restrictions. FIML is compared to the two alternative estimators 3SLS and full information instrumental variables 3SLS differs from FIML in not using all a priori restrictions in forming the instruments. The full information instrumental variables estimator when iterated to convergence yields the FIML estimate. For the case of nonlinearity in the parameters a nonlinear 3SLS and a nonlinear full information instrumental variables estimator are proposed. Both estimators are asymptotically efficient.