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

Giovanni Forchini

Econometric Theory, 2010, vol. 26, issue 3, 917-930

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.

Date: 2010
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Working Paper: The Asymptotic distribution of the LIML Estimator in a Partially Identified Structural Equation (2006)
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