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Asymptotic Expansions and Higher Order Properties of Semi-Parametric Estimators in a System of Simultaneous Equations
Kunitomo, Naoto
98491
Yukitoshi, Matsushita
98492
335
Asymptotic Expansions
Empirical Likelihood
Estimating Equation
Generalized Method of Moments
Limited Information Maximum Likelihood
Two-Stage Least Squares
Linear Simultaneous Equations
Reduced Rank Regression
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Asymptotic expansions are made for the distributions of the Maximum Empirical Likelihood (MEL) estimator and the Estimating Equation (EE) estimator (or the Generalized Method of Moments (GMM) in econometrics) for the coefficients of a single structural equation in a system of linear simultaneous equations, which corresponds to a reduced rank regression model. The expansions in terms of the sample size, when the non-centrality parameters increase proportionally, are carried out to O(n-1). Comparisons of the distributions of the MEL and GMM estimators are made. Also we relate the asymptotic expansions of the distributions of the MEL and GMM estimators to the corresponding expansions for the Limited Information Maximum Likelihood (LIML) and the Two-Stage Least Squares (TSLS) estimators. We give useful information on the higher order properties of alternative estimators including the semi-parametric inefficiency factor under the homoscedasticity assumption.
Revised version of CIRJE-F-237(2003); forthcoming in Journal of Multivariate Analysis.
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technical report
日本経済国際共同センター
2009-02
Discussion paper series. CIRJE-F
CIRJE-F-611
AA11450569
eng
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf611ab.html
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