LIML in the static linear panel data model

作者：Wan**eek Tom^*; Prak Dennis

来源：Econometric Reviews, 2017, 36(1-3): 385-395.

DOI：10.1080/07474938.2015.1114566

• Bekker standard errors
• LIML
• panel data
• many-instruments asymptotics
• weak instruments
• C23
• C26

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.

• 出版日期2017