Some properties of the LIML estimator in a dynamic panel structural equation
AbstractWe investigate the finite sample and asymptotic properties of the within-groups (WG), the random-effects quasi-maximum likelihood (RQML), the generalized method of moment (GMM) and the limited information maximum likelihood (LIML) estimators for a panel autoregressive structural equation model with random effects when both T (time-dimension) and N (cross-section dimension) are large. When we use the forward-filtering due to Alvarez and Arellano (2003), the WG, the RQML and GMM estimators are significantly biased when both T and N are large while T/N is different from zero. The LIML estimator gives desirable asymptotic properties when T/N converges to a constant.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 166 (2012)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/jeconom
Dynamic panel model; Simultaneous equation; Within-groups estimator; RQML; GMM; LIML; Many orthogonal conditions;
Other versions of this item:
- Kentaro Akashi & Naoto Kunitomo, 2010. "Some Properties of the LIML Estimator in a Dynamic Panel Structural Equation," CIRJE F-Series CIRJE-F-707, CIRJE, Faculty of Economics, University of Tokyo.
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation
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