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The limited information maximum likelihood approach to dynamic panel structural equation models

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  • Kentaro Akashi

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  • Naoto Kunitomo

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Abstract

We develop the panel-limited information maximum likelihood approach for estimating dynamic panel structural equation models. When there are dynamic effects and endogenous variables with individual effects at the same time, the LIML method for the filtered data does give not only a consistent estimator and asymptotic normality, but also attains the asymptotic bound when the number of orthogonal conditions is large. Our formulation includes Alvarez and Arellano (Econometrica 71:1121–1159, 2003 ), Blundell and Bond (Econ Rev 19-3:321–340, 2000 ) and other linear dynamic panel models as special cases. Copyright The Institute of Statistical Mathematics, Tokyo 2015

Suggested Citation

  • Kentaro Akashi & Naoto Kunitomo, 2015. "The limited information maximum likelihood approach to dynamic panel structural equation models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(1), pages 39-73, February.
  • Handle: RePEc:spr:aistmt:v:67:y:2015:i:1:p:39-73
    DOI: 10.1007/s10463-013-0438-5
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    References listed on IDEAS

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    1. 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.
    2. 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.
    3. 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.
    4. Javier Alvarez & Manuel Arellano, 2003. "The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators," Econometrica, Econometric Society, vol. 71(4), pages 1121-1159, July.
    5. Richard Blundell & Stephen Bond, 2000. "GMM Estimation with persistent panel data: an application to production functions," Econometric Reviews, Taylor & Francis Journals, vol. 19(3), pages 321-340.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. 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.
    11. Arellano, Manuel, 2003. "Panel Data Econometrics," OUP Catalogue, Oxford University Press, number 9780199245291.
    12. 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.
    13. 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.
    14. 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.
    15. 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.
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    Cited by:

    1. Hsiao, Cheng & Zhou, Qiankun, 2015. "Statistical inference for panel dynamic simultaneous equations models," Journal of Econometrics, Elsevier, vol. 189(2), pages 383-396.

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