Finite sample moments results for the quasi-FIML estimator of the reduced form: The linear case

It is shown that the finite sample quasi-FIML restricted reduced form coefficient estimators exist to the order that the system reduced form errors possess moments and that the quasi-FIML structural coefficient estimators possess no moments. Other related results are presented. A number of ‘unsolved problems’ cited in Koopmans et al. (1950) are discussed. The model studied focuses on the original Cowles Commission linear in the variables and parameters case. It is noted that some of the results reported can be generalized to the nonlinear in the variables-linear in the parameters case.