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A New Light from Old Wisdoms : Alternative Estimation Methods of Simultaneous Equations with Possibly Many Instruments
http://hdl.handle.net/2261/2674
http://hdl.handle.net/2261/2674103f3f0a-404f-4ab8-b27d-faaa69705e1c
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 with Possibly 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 | Generalized Method of Moments | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Simultaneous Equations with Possibly Many Instruments | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Limited Information Maximum Likelihood | |||||
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 dffierent 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 emirical likelihood (MEL) estimator and the generalized method of moments (GMM) (or the estimating equation) estimator. We prove several theorems on the asymptotic optimality of the LIML estimator when the number of instruments is large, which are new as well as old, and we relate them to the results in some recent studies. Tables and figures of the distribution functions of four estimators 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 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-399, 発行日 2006-02 |
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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 | 330 | |||||
主題Scheme | NDC | |||||
その他のキーワード | ||||||
Maximum Empirical Likelihood | ||||||
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/2006/2006cf399ab.html |