2007), ”On the Asymptotic Optimality of the LIML Estimator with Possibly Many Instruments,” Discussion Paper CIRJE-F-542, Graduate

We consider the estimation of the coefficients of a linear structural equation in a si-multaneous equation system when there are many instrumental variables. We derive some asymptotic properties of the limited information maximum likelihood (LIML) estimator when the number of instruments is large; some of these results are new as well as old, and we relate them to results in some recent studies. W…