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Some properties of the LIML estimator in a dynamic panel structural equation

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  • Akashi, Kentaro
  • Kunitomo, Naoto

Abstract

We 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 Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 166 (2012)
Issue (Month): 2 ()
Pages: 167-183

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Handle: RePEc:eee:econom:v:166:y:2012:i:2:p:167-183

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Web page: http://www.elsevier.com/locate/jeconom

Related research

Keywords: Dynamic panel model; Simultaneous equation; Within-groups estimator; RQML; GMM; LIML; Many orthogonal conditions;

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  1. Anderson, T W & Kunitomo, Naoto & Sawa, Takamitsu, 1982. "Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator," Econometrica, Econometric Society, vol. 50(4), pages 1009-27, July.
  2. Arellano, Manuel, 2003. "Panel Data Econometrics," OUP Catalogue, Oxford University Press, number 9780199245291.
  3. Arellano, Manuel & Bover, Olympia, 1995. "Another look at the instrumental variable estimation of error-components models," Journal of Econometrics, Elsevier, vol. 68(1), pages 29-51, July.
  4. Richard Blundell & Stephen Bond, 2000. "GMM Estimation with persistent panel data: an application to production functions," Econometric Reviews, Taylor & Francis Journals, vol. 19(3), pages 321-340.
  5. Alvarez, J. & Arellano, M., 1998. "The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators," Papers 9808, Centro de Estudios Monetarios Y Financieros-.
  6. Manuel Arellano, 2003. "Modelling Optimal Instrumental Variables For Dynamic Panel Data Models," Working Papers wp2003_0310, CEMFI.
  7. Anderson, T.W. & Kunitomo, Naoto & Matsushita, Yukitoshi, 2010. "On the asymptotic optimality of the LIML estimator with possibly many instruments," Journal of Econometrics, Elsevier, vol. 157(2), pages 191-204, August.
  8. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Wiley Blackwell, vol. 58(2), pages 277-97, April.
  9. Hsiao,Cheng, 2003. "Analysis of Panel Data," Cambridge Books, Cambridge University Press, number 9780521522717, December.
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Cited by:
  1. Bain, Robert & Luyendijk, Rolf & Bartram, Jamie, 2013. "Universal access to drinking water: the role of aid," Working Paper Series UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER).

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