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Improving Small Sample Properties of the Empirical Likelihood Estimation
http://hdl.handle.net/2261/2460
http://hdl.handle.net/2261/2460410ef161-4399-4dd2-9fa3-5241e67bcb67
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 | Improving Small Sample Properties of the Empirical Likelihood Estimation | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Modefied Empirial Likelihood Method | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Eatimating Structural Equation | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Asymptotic Bias | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Mean Squared Error | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | LIML Method | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | GMM Method | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | JEL Code: C13, C30 | |||||
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 |
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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 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. | |||||
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 2002-CF-184, 発行日 2002-11 |
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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 | |||||
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/2002/2002cf184ab.html |