Some Properties of the LIML Estimator in a Dynamic Panel Structural Equation
AbstractWe investigate the finite sample and asymptotic properties of several estimation methods (Within-Group, GMM and LIML) for a panel autoregressive structural equation model with random effects when both T and N are large. When we use the forward-filtering to a structural model as Alvarez and Arellano (2003), both the WG and GMM estimators are significantly biased when both T and N go to infinity while T/N is different from zero. The LIML (limited information maximum likelihood) estimator has consistency and the asymptotic normality when T/N converges to a constant as both T and N go to infinity. Its asymptotic distribution has some bias and covariance which depend on the limiting behavior of T/N.
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Other versions of this item:
- Akashi, Kentaro & Kunitomo, Naoto, 2012. "Some properties of the LIML estimator in a dynamic panel structural equation," Journal of Econometrics, Elsevier, vol. 166(2), pages 167-183.
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation
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