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THE ASYMPTOTIC DISTRIBUTION OF THE LIML ESTIMATOR IN A PARTIALLY IDENTIFIED STRUCTURAL EQUATION

Published online by Cambridge University Press:  07 October 2009

Giovanni Forchini
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Abstract

We derive a closed-form expression for the asymptotic distribution of the LIML estimator for the coefficients of both endogenous and exogenous variables in a partially identified linear structural equation. We extend previous results of Phillips (1989) and Choi and Phillips (1992), where the focus was on IV estimators. We show that partial failure of identification affects the LIML in that its moments do not exist even asymptotically.

Type
Brief Report
Information
Econometric Theory , Volume 26 , Issue 3 , June 2010 , pp. 917 - 930
Copyright
Copyright © Cambridge University Press 2009

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Footnotes

I thank Richard Smith and two referees for useful comments. This research was partially supported by Australian Research Council grant DP0771445.

References

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