Object Reference : Object View and Procedure Reference : Equation
Limited Information Maximum Likelihood and K-class Estimation.
eq_name.liml(options) y c x1 [x2 x3 ...] @ z1 [z2 z3 ...]
eq_name.liml(options) specification @ z1 [z2 z3 ...]
To use the liml command, list the dependent variable first, followed by the regressors, then any AR or MA error specifications, then an “@”-sign, and finally, a list of exogenous instruments.
You may estimate nonlinear equations or equations specified with formulas by first providing a specification, then listing the instrumental variables after an “@”-sign. There must be at least as many instrumental variables as there are independent variables. All exogenous variables included in the regressor list should also be included in the instrument list. A constant is included in the list of instrumental variables, unless the noconst option is specified.
Do not include a constant in the instrumental list. Without this option, a constant will always be included as an instrument, even if not specified explicitly.
Weight series or expression.
wtype=arg (default=“istdev”)
Weight specification type: inverse standard deviation (“istdev”), inverse variance (“ivar”), standard deviation (“stdev”), variance (“var”).
Weight scaling: EViews default (“eviews”), average (“avg”), none (“none”).
The default setting depends upon the weight type: “eviews” if “wtype=istdev”, “avg” for all others.
Set the value of in the K‑class estimator. If omitted, LIML is performed, and is calculated as part of the estimation procedure.
se = arg (default=“iv”)
Set the standard-error calculation type: IV based (“se=iv”), K-Class based (“se=kclass”), Bekker (“se=bekk”), or Hansen, Hausman, and Newey (“se=hhn”).
Set maximum number of iterations.
Set convergence criterion. The criterion is based upon the maximum of the percentage changes in the scaled coefficients. The criterion will be set to the nearest value between 1e-24 and 0.2.
numericderiv / ‑numericderiv
[Do / do not] use numeric derivatives only. If omitted, EViews will follow the global default.
fastderiv / ‑fastderiv
[Do / do not] use fast derivative computation. If omitted, EViews will follow the global default.
Available only for legacy estimation (“optmeth=legacy”).
showopts / ‑showopts
[Do / do not] display the starting coefficient values and estimation options in the estimation output.
Specify the name of the coefficient vector (if specified by list); the default behavior is to use the “C” coefficient vector.
Force the dialog to appear from within a program.
Print estimation results.
equation eq1.liml gdp c cpi inc @ lw lw(-1)
creates equation EQ1 and calculates a LIML estimation of GDP on a constant, CPI, and INC, using a constant, LW, and LW(-1) as instruments.
estimates the same equation, but this time via K-Class estimation, with K=2.
See also “Limited Information Maximum Likelihood and K-Class Estimation” for discussion.