Carrasco, Marine; Tchuente, Guy - 2015
regularized versions of the limited information maximum likelihood (LIML) based on three different regularizations: Tikhonov …. Moreover, they reach the semiparametric efficiency bound assuming homoskedastic error. We show that the regularized LIML …) shows the dominance of regularized LIML over regularized two-staged least squares estimators. We devise a data driven …