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LIML in the static linear panel data model

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  • Tom Wansbeek
  • Dennis Prak

Abstract

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.

Suggested Citation

  • Tom Wansbeek & Dennis Prak, 2017. "LIML in the static linear panel data model," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 385-395, March.
    • Handle: RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:385-395
    DOI: 10.1080/07474938.2015.1114566
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    References listed on IDEAS

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    5. Akashi, Kentaro & Kunitomo, Naoto, 2012. "Some properties of the LIML estimator in a dynamic panel structural equation," Journal of Econometrics, Elsevier, vol. 166(2), pages 167-183.
    6. Enrique Moral-Benito, 2013. "Likelihood-Based Estimation of Dynamic Panels With Predetermined Regressors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(4), pages 451-472, October.
    7. Amemiya, Takeshi & MaCurdy, Thomas E, 1986. "Instrumental-Variable Estimation of an Error-Components Model," Econometrica, Econometric Society, vol. 54(4), pages 869-880, July.
    8. Hsiao, Cheng & Hashem Pesaran, M. & Kamil Tahmiscioglu, A., 2002. "Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods," Journal of Econometrics, Elsevier, vol. 109(1), pages 107-150, July.
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    Cited by:

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