THE ASYMPTOTIC DISTRIBUTION OF THE LIML ESTIMATOR IN A PARTIALLY IDENTIFIED STRUCTURAL EQUATION

B-Tier
Journal: Econometric Theory
Year: 2010
Volume: 26
Issue: 3
Pages: 917-930

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

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

Abstract

We derive a closed-form expression for the asymptotic distribution of the LIML estimator for the coefficients of both endogenous and exogenous variables in a partially identified linear structural equation. We extend previous results of Phillips (1989) and Choi and Phillips (1992), where the focus was on IV estimators. We show that partial failure of identification affects the LIML in that its moments do not exist even asymptotically.

Technical Details

RePEc Handle
repec:cup:etheor:v:26:y:2010:i:03:p:917-930_99
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25