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A New Light from Old Wisdoms : Alternative Estimation Methods of Simultaneous Equations and Microeconometric Models
http://hdl.handle.net/2261/2596
http://hdl.handle.net/2261/2596c1b969a8-3f93-4f13-b6d0-5a1ea2833f0f
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2013-06-03 | |||||
| タイトル | ||||||
| タイトル | A New Light from Old Wisdoms : Alternative Estimation Methods of Simultaneous Equations and Microeconometric Models | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Finite Sample Properties | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Maximum Empirical Likelihood | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Generalized Method of Moments | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Microeconometric Models with Many Instruments | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Limited Infromation Maximum Likelihood | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL Classification Numbers: C13, C30 | |||||
| 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 a coefficient 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 a generalized method of moments (GMM) (or the estimating equation) estimator. Tables and figures are given for enough values of the parameters to cover most of interest. We have found that the LIML estimator has good performance when the number of instruments is large, that is, the micro-econometric models with many instruments or many weak instruments in the terminology of recent econometric literatures. We give a new result on the asymptotic optimality of the LIML estimator when the number of instruments is large. | |||||
| 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-321, 発行日 2005-02 |
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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Scheme | NDC | |||||
| 主題 | 330 | |||||
| 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/2005/2005cf321ab.html | |||||
