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

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.

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Year of publication:	2012
Authors:	Liu, Xiaodong
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 116.2012, 3, p. 472-475
Publisher:	Elsevier
Subject:	Limited-information maximum likelihood \| Spatial autoregressive models \| Many instruments

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Type of publication:	Article
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041811