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THE ASYMPTOTIC DISTRIBUTION OF THE LIMLESTIMATOR IN A PARTIALLY IDENTIFIED STRUCTURALEQUATION

Published online by Cambridge University Press:  07 October 2009

Giovanni Forchini
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Abstract

We derive a closed-form expression for the asymptoticdistribution of the LIML estimator for thecoefficients of both endogenous and exogenousvariables in a partially identified linearstructural equation. We extend previous results ofPhillips (1989) and Choi and Phillips (1992), wherethe focus was on IV estimators. We show that partialfailure of identification affects the LIML in thatits moments do not exist even asymptotically.

Information

Type
Brief Report
Information
Econometric Theory , Volume 26 , Issue 3 , June 2010 , pp. 917 - 930
Copyright
Copyright © Cambridge University Press 2009

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Footnotes

I thank Richard Smith and two referees for usefulcomments. This research was partially supported byAustralian Research Council grant DP0771445.

References

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