2024-03-29T09:50:54Z
https://repository.dl.itc.u-tokyo.ac.jp/oai
oai:repository.dl.itc.u-tokyo.ac.jp:00042545
2022-12-19T04:17:41Z
62:7433:7434
9:7435:7436
Improving Small Sample Properties of the Empirical Likelihood Estimation
Kunitomo, Naoto
97873
330
Modefied Empirial Likelihood Method
Eatimating Structural Equation
Asymptotic Bias
Mean Squared Error
LIML Method
GMM Method
JEL Code: C13, C30
application/pdf
We propose to use a simple modification of the maximum empirical likelihood (MEL) method for estimating structural equation in econometrics. The modified estimator improves both the asymptotic bias and the mean squared error of the MEL estimator in the orders of O(n-1) and O(n-2), respectively, at the same time. It also improves the asymptotic bias of the generalized method of moments (GMM) estimation (or the estimating equation (EE) method) significantly when there are many instruments in the econometric literatures.
本文フィルはリンク先を参照のこと
technical report
日本経済国際共同センター
2002-11
Discussion paper series. CIRJE-F
2002-CF-184
AA11450569
eng
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2002/2002cf184ab.html
metadata only access