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An Aysmptotically Optimal Modification of the Panel LIML Estimation for Individual Heteroscedasticity
http://hdl.handle.net/2261/39554
http://hdl.handle.net/2261/39554041b156d-7bfb-4aa8-8281-97462a91a7c3
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 | An Aysmptotically Optimal Modification of the Panel LIML Estimation for Individual Heteroscedasticity | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Dynamic Panel Structural Equation | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Individual Heteroscedasticity | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | AOM-LIML Estimation | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Forward-filtering | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Asymptotic Optimality | |||||
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 |
Kunitomo, Naoto
× Kunitomo, Naoto× Akashi, Kentaro |
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著者所属 | ||||||
著者所属 | Graduate School of Economics, University of Tokyo | |||||
著者所属 | ||||||
著者所属 | Institute of Statistical Mathematics | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | We consider the estimation of coefficients of a dynamic panel structural equation in the simultaneous equation models. As a semi-parametric method, we introduce a class of modifications of the limited information maximum likelihood (LIML) estimator to improve its asymptotic properties as well as the small sample properties when we have individual heteroscedasticities. We shall show that an asymptotically optimal modification of the LIML estimator, which is called AOM-LIML, removes the asymptotic bias caused by the forward-filtering and improves the LIML and other estimation methods with individual heteroscedasticities. | |||||
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-780, 発行日 2010-12 |
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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/2010/2010cf780ab.html |