The Conditional Limited Information Maximum Likelihood Approach to Dynamic Panel Structural Equations
AbstractWe propose the conditional limited information maximum likelihood (CLIML) approach for estimating dynamic panel structural equation models. When there are dynamic effects and endogenous variables with individual effects at the same time, the CLIML estimation method for the doubly-filtered data does give not only a consistent estimation, but also it attains the asymptotic efficiency when the number of orthogonal condition is large. Our formulation includes Alvarez and Arellano (2003), Blundell and Bond (2000) and other linear dynamic panel models as special cases.
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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-503.
Length: 33 pages
Date of creation: Jul 2007
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-08-08 (All new papers)
- NEP-ECM-2007-08-08 (Econometrics)
- NEP-ETS-2007-08-08 (Econometric Time Series)
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.:
- T. W. Anderson & Naoto Kunitomo & Yukitoshi Matsushita, 2006. "A New Light from Old Wisdoms : Alternative Estimation Methods of Simultaneous Equations with Possibly Many Instruments," CIRJE F-Series CIRJE-F-399, CIRJE, Faculty of Economics, University of Tokyo.
- Javier Alvarez & Manuel Arellano, 2003.
"The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators,"
Econometric Society, vol. 71(4), pages 1121-1159, 07.
- 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-.
- Richard Blundell & Steve Bond, 1999.
"GMM estimation with persistent panel data: an application to production functions,"
IFS Working Papers
W99/04, Institute for Fiscal Studies.
- Richard Blundell & Stephen Bond, 2000. "GMM Estimation with persistent panel data: an application to production functions," Econometric Reviews, Taylor and Francis Journals, vol. 19(3), pages 321-340.
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