Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs - Journal of the Spanish Economic Association 14 (2023) 3/4, pp. 253-300
Arellano (J Econ 42:247-265, 1989a) showed that valid equality restrictions on covariance matrices could result in efficiency losses for Gaussian PMLEs in simultaneous equations models. We revisit his two-equation example using finite normal mixtures PMLEs instead, which are also consistent for...