WEKO3
アイテム
{"_buckets": {"deposit": "b1816f5b-5316-460d-9eab-b13efd0de378"}, "_deposit": {"id": "42858", "owners": [], "pid": {"revision_id": 0, "type": "depid", "value": "42858"}, "status": "published"}, "_oai": {"id": "oai:repository.dl.itc.u-tokyo.ac.jp:00042858", "sets": ["7436", "7434"]}, "item_8_biblio_info_7": {"attribute_name": "書誌情報", "attribute_value_mlt": [{"bibliographicIssueDates": {"bibliographicIssueDate": "2010-01", "bibliographicIssueDateType": "Issued"}, "bibliographicVolumeNumber": "CIRJE-F-707", "bibliographic_titles": [{"bibliographic_title": "Discussion paper series. CIRJE-F"}]}]}, "item_8_description_13": {"attribute_name": "フォーマット", "attribute_value_mlt": [{"subitem_description": "application/pdf", "subitem_description_type": "Other"}]}, "item_8_description_5": {"attribute_name": "抄録", "attribute_value_mlt": [{"subitem_description": "We investigate the finite sample and asymptotic properties of several estimation methods (Within-Group, GMM and LIML) for a panel autoregressive structural equation model with random effects when both T and N are large. When we use the forward-filtering to a structural model as Alvarez and Arellano (2003), both the WG and GMM estimators are significantly biased when both T and N go to infinity while T/N is different from zero. The LIML (limited information maximum likelihood) estimator has consistency and the asymptotic normality when T/N converges to a constant as both T and N go to infinity. Its asymptotic distribution has some bias and covariance which depend on the limiting behavior of T/N.", "subitem_description_type": "Abstract"}]}, "item_8_description_6": {"attribute_name": "内容記述", "attribute_value_mlt": [{"subitem_description": "本文フィルはリンク先を参照のこと", "subitem_description_type": "Other"}]}, "item_8_publisher_20": {"attribute_name": "出版者", "attribute_value_mlt": [{"subitem_publisher": "日本経済国際共同センター"}]}, "item_8_relation_25": {"attribute_name": "関係URI", "attribute_value_mlt": [{"subitem_relation_type_id": {"subitem_relation_type_id_text": "http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf707ab.html", "subitem_relation_type_select": "URI"}}]}, "item_8_relation_29": {"attribute_name": "異版あり", "attribute_value_mlt": [{"subitem_relation_type": "hasVersion", "subitem_relation_type_id": {"subitem_relation_type_id_text": "http://doi.org/10.1016/j.jeconom.2011.08.00", "subitem_relation_type_select": "URI"}}]}, "item_8_source_id_10": {"attribute_name": "書誌レコードID", "attribute_value_mlt": [{"subitem_source_identifier": "AA11450569", "subitem_source_identifier_type": "NCID"}]}, "item_8_subject_15": {"attribute_name": "日本十進分類法", "attribute_value_mlt": [{"subitem_subject": "335", "subitem_subject_scheme": "NDC"}]}, "item_8_text_21": {"attribute_name": "出版者別名", "attribute_value_mlt": [{"subitem_text_value": "Center for International Research on the Japanese Economy"}]}, "item_8_text_34": {"attribute_name": "資源タイプ", "attribute_value_mlt": [{"subitem_text_value": "Discussion Paper"}]}, "item_8_text_4": {"attribute_name": "著者所属", "attribute_value_mlt": [{"subitem_text_value": "Institute of Statistical Mathematics"}, {"subitem_text_value": "Graduate School of Economics, University of Tokyo"}]}, "item_access_right": {"attribute_name": "アクセス権", "attribute_value_mlt": [{"subitem_access_right": "metadata only access", "subitem_access_right_uri": "http://purl.org/coar/access_right/c_14cb"}]}, "item_creator": {"attribute_name": "著者", "attribute_type": "creator", "attribute_value_mlt": [{"creatorNames": [{"creatorName": "Akashi, Kentaro"}], "nameIdentifiers": [{"nameIdentifier": "98527", "nameIdentifierScheme": "WEKO"}]}, {"creatorNames": [{"creatorName": "Kunitomo, Naoto"}], "nameIdentifiers": [{"nameIdentifier": "98528", "nameIdentifierScheme": "WEKO"}]}]}, "item_keyword": {"attribute_name": "キーワード", "attribute_value_mlt": [{"subitem_subject": "Dynamic Panel Model", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Simultaneous Equation", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Within-Groups Estimator", "subitem_subject_scheme": "Other"}, {"subitem_subject": "GMM", "subitem_subject_scheme": "Other"}, {"subitem_subject": "LIML (limited information maximum likelihood)", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Many Orthogonal Conditions", "subitem_subject_scheme": "Other"}]}, "item_language": {"attribute_name": "言語", "attribute_value_mlt": [{"subitem_language": "eng"}]}, "item_resource_type": {"attribute_name": "資源タイプ", "attribute_value_mlt": [{"resourcetype": "technical report", "resourceuri": "http://purl.org/coar/resource_type/c_18gh"}]}, "item_title": "Some Properties of the LIML Estimator in a Dynamic Panel Structural Equation", "item_titles": {"attribute_name": "タイトル", "attribute_value_mlt": [{"subitem_title": "Some Properties of the LIML Estimator in a Dynamic Panel Structural Equation"}]}, "item_type_id": "8", "owner": "1", "path": ["7436", "7434"], "permalink_uri": "http://hdl.handle.net/2261/33411", "pubdate": {"attribute_name": "公開日", "attribute_value": "2017-01-17"}, "publish_date": "2017-01-17", "publish_status": "0", "recid": "42858", "relation": {}, "relation_version_is_last": true, "title": ["Some Properties of the LIML Estimator in a Dynamic Panel Structural Equation"], "weko_shared_id": null}
Some Properties of the LIML Estimator in a Dynamic Panel Structural Equation
http://hdl.handle.net/2261/33411
http://hdl.handle.net/2261/334118acf6feb-537d-4b4f-9cb8-f6ca41b5f402
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2017-01-17 | |||||
タイトル | ||||||
タイトル | Some Properties of the LIML Estimator in a Dynamic Panel Structural Equation | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Dynamic Panel Model | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Simultaneous Equation | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Within-Groups Estimator | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | GMM | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | LIML (limited information maximum likelihood) | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Many Orthogonal Conditions | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Akashi, Kentaro
× Akashi, Kentaro× Kunitomo, Naoto |
|||||
著者所属 | ||||||
著者所属 | Institute of Statistical Mathematics | |||||
著者所属 | ||||||
著者所属 | Graduate School of Economics, University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | We investigate the finite sample and asymptotic properties of several estimation methods (Within-Group, GMM and LIML) for a panel autoregressive structural equation model with random effects when both T and N are large. When we use the forward-filtering to a structural model as Alvarez and Arellano (2003), both the WG and GMM estimators are significantly biased when both T and N go to infinity while T/N is different from zero. The LIML (limited information maximum likelihood) estimator has consistency and the asymptotic normality when T/N converges to a constant as both T and N go to infinity. Its asymptotic distribution has some bias and covariance which depend on the limiting behavior of T/N. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-707, 発行日 2010-01 |
|||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
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 | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf707ab.html | |||||
異版あり | ||||||
関連タイプ | hasVersion | |||||
識別子タイプ | URI | |||||
関連識別子 | http://doi.org/10.1016/j.jeconom.2011.08.00 |