10.4225/03/59fbb4361899c
Forchini, Giovanni
The asymptotic distribution of the LIML estimator in a partially identified structural equation
2017
Monash University
LIML estimator
Partial Identification
Linear structural equation
Asymptotic distribution
2006
1959.1/38907
monash:7221
2017-11-03 00:11:32
article
https://bridges.monash.edu/articles/journal_contribution/The_asymptotic_distribution_of_the_LIML_estimator_in_a_partially_identified_structural_equation/5566975
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.