Asymptotic Expansions of the Distributions of Semi-Parametric Estimators in a Linear Simultaneous Equations System
Asymptotic expansions are made of the distributions of a class of semi-parametric estimators including the Maximum Empirical Likelihood (MEL) method and the Generalized Method of Moments (GMM) for the coefficients of a single structural equation in the linear simultaneous equations system. The expansions in terms of the sample size, when the non-centrality parameters increase proportionally, are carried out to the order of O(n-2). Comparisons of the distributions of the MEL and GMM estimators are also made.
|Date of creation:||Aug 2003|
|Date of revision:|
|Contact details of provider:|| Postal: Hongo 7-3-1, Bunkyo-ku, Tokyo 113-0033|
Web page: http://www.cirje.e.u-tokyo.ac.jp/index.html
More information through EDIRC
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.:
- Yuichi Kitamura & Gautam Tripathi & Hyungtaik Ahn, 2001.
"Empirical Likelihood-Based Inference in Conditional Moment Restriction Models,"
CIRJE-F-124, CIRJE, Faculty of Economics, University of Tokyo.
- 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.
- 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.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
When requesting a correction, please mention this item's handle: RePEc:tky:fseres:2003cf237. 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: (CIRJE administrative office)
If references are entirely missing, you can add them using this form.