MANY INSTRUMENTS ASYMPTOTIC APPROXIMATIONS UNDER NONNORMAL ERROR DISTRIBUTIONS

In this paper we derive an alternative asymptotic approximation to the sampling distribution of the limited information maximum likelihood estimator and a bias-corrected version of the two-stage least squares estimator. The approximation is obtained by allowing the number of instruments and the concentration parameter to grow at the same rate as the sample size. More specifically, we allow for potentially nonnormal error distributions and obtain the conventional asymptotic distribution and the results of Bekker (1994, <italic>Econometrica</italic> 62, 657–681) and Bekker and Van der Ploeg (2005, <italic>Statistica Neerlandica</italic> 59, 139–267) as special cases. The results show that when the error distribution is not normal, in general both the properties of the instruments and the third and fourth moments of the errors affect the asymptotic variance. We compare our findings with those in the recent literature on many and weak instruments.