On Finite Sample Distributions of the Empirical Likelihood Estimator and the GMM Estimator
AbstractThe distributions of the Maximum Empirical Likelihood (MEL) estimator and the Generalized Method o Moments (GMM) estimator for the coe cient o one endogenous variable in a linear structural equation are evaluated numerically.Tables and gures are given for enough values of the parameters to cover most of interest.Comparisons of the distributions of the MEL estimator and the GMM estimator with their asymptotic expansions are made.
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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-200.
Length: 26 pages
Date of creation: Mar 2003
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- Stefan Boes, 2007. "Count Data Models with Unobserved Heterogeneity: An Empirical Likelihood Approach," SOI - Working Papers 0704, Socioeconomic Institute - University of Zurich.
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