On the consistency of the LIML estimator of a spatial autoregressive model with many instruments

C-Tier
Journal: Economics Letters
Year: 2012
Volume: 116
Issue: 3
Pages: 472-475

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper derives the LIML estimator for a spatial autoregressive model with endogenous regressors in the presence of many instruments. The LIML estimator is consistent when the number of instruments increases at a slower rate relative to the sample size. Due to spatial correlation, the LIML estimator in general is inconsistent when the number of instruments increases at the same rate as the sample size.

Technical Details

RePEc Handle
repec:eee:ecolet:v:116:y:2012:i:3:p:472-475
Journal Field
General
Author Count
1
Added to Database
2026-01-25