The limited information maximum likelihood approach to dynamic panel structural equation models
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Alonso-Borrego, Cesar & Arellano, Manuel, 1999.
"Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 17(1), pages 36-49, January.
- Arrellano, Manuel & Alonso-Borrego, César, 1996. "Symmetrically normalized instrumental-variable estimation using panel data," UC3M Working papers. Economics 4098, Universidad Carlos III de Madrid. Departamento de Economía.
- César Alonso-Borrego & Manuel Arellano, 1996. "Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data," Working Papers wp1996_9612, CEMFI.
- Arellano, Manuel & Bover, Olympia, 1995.
"Another look at the instrumental variable estimation of error-components models,"
Journal of Econometrics,
Elsevier, vol. 68(1), pages 29-51, July.
- M Arellano & O Bover, 1990. "Another Look at the Instrumental Variable Estimation of Error-Components Models," CEP Discussion Papers dp0007, Centre for Economic Performance, LSE.
- Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1989.
"The Revenues-Expenditures Nexus: Evidence from Local Government Data,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(2), pages 415-429, May.
- Douglas Holtz-Eakin & Whitney K. Newey & Harvey S. Rosen, 1987. "The Revenues-Expenditures Nexus: Evidence from Local Government Data," NBER Working Papers 2180, National Bureau of Economic Research, Inc.
- Tom Doan, "undated". "RATS program to demonstrate IV estimation of VAR in panel data," Statistical Software Components RTZ00185, Boston College Department of Economics.
- 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, July.
- 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-.
- Javier Álvarez & Manuel Arellano, 1998. "The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators," Working Papers wp1998_9808, CEMFI.
- Richard Blundell & Stephen Bond, 2000.
"GMM Estimation with persistent panel data: an application to production functions,"
Taylor & Francis Journals, vol. 19(3), pages 321-340.
- Richard Blundell & Stephen Bond, 1999. "GMM estimation with persistent panel data: an application to production functions," IFS Working Papers W99/04, Institute for Fiscal Studies.
- Naoto Kunitomo, 2012. "An optimal modification of the LIML estimation for many instruments and persistent heteroscedasticity," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(5), pages 881-910, October.
- Anderson, T.W. & Kunitomo, Naoto & Matsushita, Yukitoshi, 2011. "On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments," Journal of Econometrics, Elsevier, vol. 165(1), pages 58-69.
- Jinyong Hahn & Guido Kuersteiner, 2002. "Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both "n" and "T" Are Large," Econometrica, Econometric Society, vol. 70(4), pages 1639-1657, July.
- Kazuhiko Hayakawa, 2006. "Efficient GMM Estimation of Dynamic Panel Data Models Where Large Heterogeneity May Be Present," Hi-Stat Discussion Paper Series d05-130, Institute of Economic Research, Hitotsubashi University.
- 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.
- Kentaro Akashi & Naoto Kunitomo, 2010. "Some Properties of the LIML Estimator in a Dynamic Panel Structural Equation," CIRJE F-Series CIRJE-F-707, CIRJE, Faculty of Economics, University of Tokyo.
- Arellano, Manuel, 2003. "Panel Data Econometrics," OUP Catalogue, Oxford University Press, number 9780199245291.
- Anderson, T.W. & Kunitomo, Naoto & Matsushita, Yukitoshi, 2010. "On the asymptotic optimality of the LIML estimator with possibly many instruments," Journal of Econometrics, Elsevier, vol. 157(2), pages 191-204, August.
- Naoto Kunitomo & Kentaro Akashi, 2010. "An Aysmptotically Optimal Modification of the Panel LIML Estimation for Individual Heteroscedasticity," CIRJE F-Series CIRJE-F-780, CIRJE, Faculty of Economics, University of Tokyo.
- Hayakawa, Kazuhiko, 2009. "A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTH N AND T ARE LARGE," Econometric Theory, Cambridge University Press, vol. 25(03), pages 873-890, June.
- Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 47-82, January.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Hsiao, Cheng & Zhou, Qiankun, 2015. "Statistical inference for panel dynamic simultaneous equations models," Journal of Econometrics, Elsevier, vol. 189(2), pages 383-396.
More about this item
KeywordsDynamic panel structural equation; LIML; Many orthogonal conditions; Forward and backward filters; Optimality;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:aistmt:v:67:y:2015:i:1:p:39-73. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Mallaigh Nolan). General contact details of provider: http://www.springer.com .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.