Asymptotic expansions are made of the distributions of a class of semi-parametric estimators including the Maximum Empirical Likelihood (MEL) method and the Generalized Method of Moments (GMM) for the coefficients of a single structural equation in the linear simultaneous equations system. The expansions in terms of the sample size, when the non-centrality parameters increase proportionally, are carried out to the order of O (n-2). Comparisons of the distributions of the MEL and GMM estimators are also made.
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
2003-CF-237
発行年
2003-08
書誌レコードID
AA11450569
フォーマット
application/pdf
日本十進分類法
330
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
Asymptotic Expansions of the Distributions of Semi-Parametric Estimators in a Linear Simultaneous Equations System
