The asymptotic distribution of the LIML estimator in a partially identified structural equation
journal contributionposted on 03.11.2017 by Forchini, Giovanni
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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.