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Asymptotic Expansions of the Distributions of Semi-Parametric Estimators in a Linear Simultaneous Equations System

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  • Naoto Kunitomo

    (Faculty of Economics, University of Tokyo)

  • Yukitoshi Matsushita

    (Graduate School of Economics, University of Tokyo)

Abstract

Asymptotic expansions are made of the distributions of a class of semi-parametric estimators including the Maximum Empirical Likelihood (MEL) method and the Generalized Method of Moments (GMM) for the coefficients of a single structural equation in the linear simultaneous equations system. The expansions in terms of the sample size, when the non-centrality parameters increase proportionally, are carried out to the order of O(n-2). Comparisons of the distributions of the MEL and GMM estimators are also made.

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File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2003/2003cf237.pdf
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Bibliographic Info

Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-237.

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Length: 43 pages
Date of creation: Aug 2003
Date of revision:
Handle: RePEc:tky:fseres:2003cf237

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