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On Finite Sample Properties of Alternative Estimators of Coefficients in a Structural Equation with Many Instruments
http://hdl.handle.net/2261/18453
http://hdl.handle.net/2261/184532e6be593-1eba-4525-bccd-ff22934f51d6
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | On Finite Sample Properties of Alternative Estimators of Coefficients in a Structural Equation with Many Instruments | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Finite Sample Properties | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Empirical Likelihood | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | GMM | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Simultaneous Equations with Many Instruments | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Limited Information Maximum Likelihood | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Nonlinear LIML | |||||
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 |
Anderson, T. W.
× Anderson, T. W.× Kunitomo, Naoto× Matsushita, Yukitoshi |
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著者所属 | ||||||
著者所属 | Stanford University | |||||
著者所属 | ||||||
著者所属 | University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | We compare four different estimation methods for the coefficients of a linear structural equation with instrumental variables. As the classical methods we consider the limited information maximum likelihood (LIML) estimator and the two-stage least squares (TSLS) estimator, and as the semi-parametric estimation methods we consider the maximum empirical likelihood (MEL) estimator and the generalized method of moments (GMM) (or the estimating equation) estimator. Tables and figures of the distribution functions of four estimators are given for enough values of the parameters to cover most linear models of interest and we include some heteroscedastic cases and nonlinear cases. We have found that the LIML estimator has good performance in terms of the bounded loss functions and probabilities when the number of instruments is large, that is, the micro-econometric models with "many instruments" in the terminology of recent econometric literature. | |||||
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-577, 発行日 2008-07 |
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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/2008/2008cf577ab.html |