On the consistency of the LIML estimator of a spatial autoregressive model with many instruments

Xiaodong Liu

Economics Letters, 2012, vol. 116, issue 3, 472-475

Abstract: This paper derives the LIML estimator for a spatial autoregressive model with endogenous regressors in the presence of many instruments. The LIML estimator is consistent when the number of instruments increases at a slower rate relative to the sample size. Due to spatial correlation, the LIML estimator in general is inconsistent when the number of instruments increases at the same rate as the sample size.

Keywords: Limited-information maximum likelihood; Spatial autoregressive models; Many instruments (search for similar items in EconPapers)
JEL-codes: C13 C3 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:3:p:472-475

DOI: 10.1016/j.econlet.2012.04.045

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