The Asymptotic distribution of the LIML Estimator in a Partially Identified Structural Equation

Giovanni Forchini

No 1/06, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: We derive general formulae 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.

Keywords: LIML estimator; Partial Identification; Linear structural equation; Asymptotic distribution (search for similar items in EconPapers)
JEL-codes: C13 C30 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: Written 2006-01
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