The Conditional Limited Information Maximum Likelihood Approach to Dynamic Panel Structural Equations
We propose the conditional limited information maximum likelihood (CLIML) approach for estimating dynamic panel structural equation models. When there are dynamic effects and endogenous variables with individual effects at the same time, the CLIML estimation method for the doubly-filtered data does give not only a consistent estimation, but also it attains the asymptotic efficiency when the number of orthogonal condition is large. Our formulation includes Alvarez and Arellano (2003), Blundell and Bond (2000) and other linear dynamic panel models as special cases.
|Date of creation:||Jul 2007|
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- 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.
- 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.
- Richard Blundell & Steve Bond, 1999.
"GMM estimation with persistent panel data: an application to production functions,"
IFS Working Papers
W99/04, Institute for Fiscal Studies.
- 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.
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