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The Limited Information Maximum Likelihood Approach to Dynamic Panel Structural Equations
http://hdl.handle.net/2261/33410
http://hdl.handle.net/2261/33410ae3d4fd4-056b-48eb-9684-6b3c39bbed0c
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2017-01-17 | |||||
タイトル | ||||||
タイトル | The Limited Information Maximum Likelihood Approach to Dynamic Panel Structural Equations | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Dynamic Panel Structural Equations | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | PLIML | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Dynamic GMM | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Long Panel | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Many Orthogonal Conditions | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Forward Filtering | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Backward Filtering | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Asymptotic Optimality | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Individual Heteroscedasticity | |||||
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 |
Akashi, Kentaro
× Akashi, Kentaro× Kunitomo, Naoto |
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著者所属 | ||||||
著者所属 | Institute of Statistical Mathematics | |||||
著者所属 | ||||||
著者所属 | Graduate School of Economics, University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | We develop the panel limited information maximum likelihood (PLIML) approach for estimating dynamic panel structural equation models. When there are dynamic effects and endogenous variables with individual effects at the same time, the PLIML estimation method for the filtered data does give not only a consistent estimator, but also it has the asymptotic normality and often attains the asymptotic bound when the number of orthogonal conditions is large. Our formulation includes Alvarez and Arellano (2003), Blundell and Bond (2000) and other linear dynamic panel models as special cases. We also compare the PLIML and dynamic GMM (generalized method of moments) estimation methods and suggest an asymptotically optimal modification of LIML under heteroscedastic disturbances among individuals. | |||||
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-708, 発行日 2010-01 |
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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/2010/2010cf708ab.html | |||||
置換する | ||||||
関連タイプ | replaces | |||||
識別子タイプ | URI | |||||
関連識別子 | http://hdl.handle.net/2261/7382 |