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 (are nearly …

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 …