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Asymptotic Expansions of the Distributions of Semi-Parametric Estimators in a Linear Simultaneous Equations System

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  • Naoto Kunitomo

    (Faculty of Economics, University of Tokyo)

  • Yukitoshi Matsushita

    (Graduate School of Economics, University of Tokyo)

Abstract

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.

Suggested Citation

  • 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.
  • Handle: RePEc:tky:fseres:2003cf237
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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2003/2003cf237.pdf
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    References listed on IDEAS

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    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    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. "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.
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    Cited by:

    1. 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.
    2. 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.
    3. T. W. Anderson & Naoto Kunitomo & Yukitoshi Matsushita, 2008. "On Finite Sample Properties of Alternative Estimators of Coefficients in a Structural Equation with Many Instruments," CIRJE F-Series CIRJE-F-577, CIRJE, Faculty of Economics, University of Tokyo.
    4. 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.
    5. 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.

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