LIML in the static linear panel data model

Tom Wansbeek*, Dennis Prak

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

9 Citations (Scopus)
86 Downloads (Pure)


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.
Original languageEnglish
Pages (from-to)385-395
JournalEconometric Reviews
Issue number1-3
Publication statusPublished - 2017
Externally publishedYes


Dive into the research topics of 'LIML in the static linear panel data model'. Together they form a unique fingerprint.

Cite this