Abutaliev, Albert; Anatolyev, Stanislav - In: Economics Letters 118 (2013) 2, pp. 272-274
In models with many instruments, the asymptotic variance of the LIML estimator contains four components. Apart from the traditional variance, one term is due to instrument numerosity, and the last two appear if the model errors are non-normal. For a stylized instrumental variables model, we...