in Carrasco (2012) and Carrasco and Tchuente (2013). We show that normalized regularized 2SLS and LIML are consistent and … competing estimators. Our simulations show that the leading regularized estimators (LF and T of LIML) work very well (is nearly …

regularized versions of the limited information maximum likelihood (LIML) based on three different regularizations: Tikhonov … some standard assumptions. We show that the regularized LIML estimator based on principal components possesses finite … regularized LIML over regularized two-staged least squares estimators. We devise a data driven selection of the regularization …