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A New Light from Old Wisdoms : Alternative Estimation Methods of Simultaneous Equations and Microeconometric Models

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  • Theodore W. Anderson

    (Department of Statistics and Department of Economics, Stanford University)

  • Naoto Kunijtomo

    (Faculty of Economics, University of Tokyo)

  • Yukitoshi Matsushita

    (Graduate School of Economics, University of Tokyo)

Abstract

We compare four different estimation methods for a coefficient of a linear structural equation with instrumental variables. As the classical methods we consider the limited information maximum likelihood (LIML) estimator and the two-stage least squares (TSLS) estimator, and as the semi-parametric estimation methods we consider the maximum empirical likelihood (MEL) estimator and a generalized method of moments (GMM) (or the estimating equation) estimator. Tables and figures are given for enough values of the parameters to cover most of interest. We have found that the LIML estimator has good performance when the number of instruments is large, that is, the micro-econometric models with many instruments or many weak instruments in the terminology of recent econometric literatures. We give a new result on the asymptotic optimality of the LIML estimator when the number of instruments is large.

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File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2005/2005cf321.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-321.

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Length: 53 pages
Date of creation: Feb 2005
Date of revision:
Handle: RePEc:tky:fseres:2005cf321

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