The Asymptotic distribution of the LIML Estimator in a Partially Identified Structural Equation

We 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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Year of publication:	2006-01
Authors:	Forchini, Giovanni
Institutions:	Department of Econometrics and Business Statistics, Monash Business School
Subject:	LIML estimator \| Partial Identification \| Linear structural equation \| Asymptotic distribution

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Extent:	application/pdf
Series:	Monash Econometrics and Business Statistics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 1/06 18 pages
Classification:	C13 - Estimation ; C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005427618