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

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.

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Year of publication:	2010
Authors:	Forchini, Giovanni
Published in:	Econometric Theory. - Cambridge University Press. - Vol. 26.2010, 03, p. 917-930
Publisher:	Cambridge University Press
Description of contents:	Abstract [journals.cambridge.org]

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008505664