a1 Monash University
We derive a closed-form expression 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.
c1 Address correspondence to Giovanni Forchini, Department of Econometrics and Business Statistics, Monash University, Clayton, Victoria 3800, Australia; e-mail: email@example.com.
I thank Richard Smith and two referees for useful comments. This research was partially supported by Australian Research Council grant DP0771445.