Kunitomo, Naoto - In: Annals of the Institute of Statistical Mathematics 64 (2012) 5, pp. 881-910
(LIML) estimator to improve its asymptotic properties as well as the small sample properties for many instruments and … persistent heteroscedasticity. We show that an asymptotically optimal modification of the LIML estimator, which is called AOM-LIML …, improves the LIML estimator and other estimation methods. We give a set of sufficient conditions for an asymptotic optimality …