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On Finite Sample Distributions of the Empirical Likelihood Estimator and the GMM Estimator

Author

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  • Naoto Kunitomo

    (Faculty of Economics, University of Tokyo)

  • Yukitoshi Matsushita

    (Graduate School of Economics, University of Tokyo)

Abstract

The distributions of the Maximum Empirical Likelihood (MEL) estimator and the Generalized Method o Moments (GMM) estimator for the coe cient o one endogenous variable in a linear structural equation are evaluated numerically.Tables and gures are given for enough values of the parameters to cover most of interest.Comparisons of the distributions of the MEL estimator and the GMM estimator with their asymptotic expansions are made.

Suggested Citation

  • Naoto Kunitomo & Yukitoshi Matsushita, 2003. "On Finite Sample Distributions of the Empirical Likelihood Estimator and the GMM Estimator," CIRJE F-Series CIRJE-F-200, CIRJE, Faculty of Economics, University of Tokyo.
  • Handle: RePEc:tky:fseres:2003cf200
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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2003/2003cf200.pdf
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    References listed on IDEAS

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    1. Sargan, J D & Mikhail, W M, 1971. "A General Approximation to the Distribution of Instrumental Variables Estimates," Econometrica, Econometric Society, vol. 39(1), pages 131-169, January.
    2. Yuichi Kitamura & Gautam Tripathi & Hyungtaik Ahn, 2004. "Empirical Likelihood-Based Inference in Conditional Moment Restriction Models," Econometrica, Econometric Society, vol. 72(6), pages 1667-1714, November.
    3. Naoto Kunitomo & Yukitoshi Matsushita, 2003. "Asymptotic Expansions of the Distributions of Semi-Parametric Estimators in a Linear Simultaneous Equations System," CIRJE F-Series CIRJE-F-237, CIRJE, Faculty of Economics, University of Tokyo.
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    Citations

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    Cited by:

    1. Naoto Kunitomo, 2002. "Improving Small Sample Properties of the Empirical Likelihood Estimation," CIRJE F-Series CIRJE-F-184, CIRJE, Faculty of Economics, University of Tokyo.
    2. Smith, William T. & Zhang, Qiang, 2007. "Asset pricing with multiplicative habit and power-expo preferences," Economics Letters, Elsevier, vol. 94(3), pages 319-325, March.
    3. Daniel Wilhelm, 2014. "Optimal bandwidth selection for robust generalized method of moments estimation," CeMMAP working papers CWP15/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    4. Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa, 2013. "Crises and Recoveries in an Empirical Model of Consumption Disasters," American Economic Journal: Macroeconomics, American Economic Association, pages 35-74.
    5. Christian Julliard & Anisha Ghosh, 2012. "Can Rare Events Explain the Equity Premium Puzzle?," Review of Financial Studies, Society for Financial Studies, pages 3037-3076.
    6. 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.
    7. Naoto Kunitomo & Takashi Owada, 2004. "Empirical Likelihood Estimation of Levy Processes (Revised in March 2005)," CARF F-Series CARF-F-002, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    8. Okazaki, Tetsuji & Hamao, Yasushi & Hoshi, Takeo, 2005. "The Genesis and the Development of the Pre‐War Japanese Stock Market," Economic Review, Hitotsubashi University, pages 15-29.
    9. Yukitoshi Matsushita, 2007. "t-Tests in a Structural Equation with Many Instruments," CIRJE F-Series CIRJE-F-467, CIRJE, Faculty of Economics, University of Tokyo.
    10. Naoto Kunitomo & Takashi Owada, 2004. "Empirical Likelihood Estimation of Levy Processes (Revised: March 2005)," CIRJE F-Series CIRJE-F-272, CIRJE, Faculty of Economics, University of Tokyo.
    11. Stefan Boes, 2007. "Count Data Models with Unobserved Heterogeneity: An Empirical Likelihood Approach," SOI - Working Papers 0704, Socioeconomic Institute - University of Zurich.
    12. Wilhelm, Daniel, 2015. "Optimal Bandwidth Selection For Robust Generalized Method Of Moments Estimation," Econometric Theory, Cambridge University Press, vol. 31(05), pages 1054-1077, October.
    13. Yukitoshi Matsushita, 2007. "Approximate Distributions of the Likelihood Ratio Statistic in a Structural Equation with Many Instruments," CIRJE F-Series CIRJE-F-466, CIRJE, Faculty of Economics, University of Tokyo.
    14. Naoto Kunitomo & Yukitoshi Matsushita, 2003. "Asymptotic Expansions of the Distributions of Semi-Parametric Estimators in a Linear Simultaneous Equations System," CIRJE F-Series CIRJE-F-237, CIRJE, Faculty of Economics, University of Tokyo.

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