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The asymptotic distribution of the LIML estimator in a partially identified structural equation
journal contribution
posted on 2017-11-03, 00:11 authored by Forchini, GiovanniWe derive general formulae 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.
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2006Series
Dept of Econometrics and Business StatisticsUsage metrics
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