LIML in the static linear panel data model

Tom Wansbeek and Dennis Prak

Econometric Reviews, 2017, vol. 36, issue 1-3, 385-395

Abstract: We consider the static linear panel data model with a single regressor. For this model, we derive the LIML estimator. We study the asymptotic behavior of this estimator under many-instruments asymptotics, by showing its consistency, deriving its asymptotic variance, and by presenting an estimator of the asymptotic variance that is consistent under many-instruments asymptotics. We briefly indicate the extension to the static panel data model with multiple regressors.

Date: 2017
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:385-395

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DOI: 10.1080/07474938.2015.1114566

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