Improving Small Sample Properties of the Empirical Likelihood Estimation
AbstractWe 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.
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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-184.
Length: 30 pages
Date of creation: Nov 2002
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-12-31 (All new papers)
- NEP-ECM-2003-01-05 (Econometrics)
- NEP-RMG-2002-12-31 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Naoto Kunitomo & Yukitoshi Matsushita, 2003. "On Finite Sample Distributions of the Empirical Likelihood Estimator and the GMM Estimator," CIRJE F-Series CIRJE-F-200, CIRJE, Faculty of Economics, University of Tokyo.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
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