Graduate School of Economics, University of Tokyo
Institute of Statistical Mathematics
抄録
We consider the estimation of coefficients of a dynamic panel structural equation in the simultaneous equation models. As a semi-parametric method, we introduce a class of modifications of the limited information maximum likelihood (LIML) estimator to improve its asymptotic properties as well as the small sample properties when we have individual heteroscedasticities. We shall show that an asymptotically optimal modification of the LIML estimator, which is called AOM-LIML, removes the asymptotic bias caused by the forward-filtering and improves the LIML and other estimation methods with individual heteroscedasticities.
内容記述
本文フィルはリンク先を参照のこと
雑誌名
Discussion paper series. CIRJE-F
巻
CIRJE-F-780
発行年
2010-12
書誌レコードID
AA11450569
フォーマット
application/pdf
日本十進分類法
335
出版者
日本経済国際共同センター
出版者別名
Center for International Research on the Japanese Economy
An Aysmptotically Optimal Modification of the Panel LIML Estimation for Individual Heteroscedasticity
