LIML in the static linear panel data model
研究了静态线性面板数据模型中有限信息最大似然估计量的渐近性质，包括一致性和渐近方差，并给出了渐近方差的一致估计，适用于多工具变量情形。
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.