Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations☆ Export

@article{kunitomo:matsushita:2009, abstract = {Asymptotic expansions are made for the distributions of the Maximum Empirical Likelihood (MEL) estimator and the Estimating Equation (EE) estimator (or the Generalized Method of Moments (GMM) in econometrics) for the coefficients of a single structural equation in a system of linear simultaneous equations, which corresponds to a reduced rank regression model. The expansions in terms of the sample size, when the non-centrality parameters increase proportionally, are carried out to O ( n −1 ) . Comparisons of the distributions of the MEL and GMM estimators are made. Also, we relate the asymptotic expansions of the distributions of the MEL and GMM estimators to the corresponding expansions for the Limited Information Maximum Likelihood (LIML) and the Two-Stage Least Squares (TSLS) estimators. We give useful information on the higher order properties of alternative estimators including the semi-parametric inefficiency factor under the homoscedasticity assumption.}, author = {Kunitomo, Naoto and Matsushita, Yukitoshi}, citeulike-article-id = {5096578}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/j.jmva.2009.02.004}, citeulike-linkout-1 = {http://linkinghub.elsevier.com/retrieve/pii/S0047259X09000384}, doi = {10.1016/j.jmva.2009.02.004}, issn = {0047259X}, journal = {Journal of Multivariate Analysis}, keywords = {econometric\_theory, empirical\_likelihood, multivariate}, month = {September}, number = {8}, pages = {1727--1751}, posted-at = {2009-07-09 17:43:00}, priority = {2}, title = {Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations☆}, url = {http://dx.doi.org/10.1016/j.jmva.2009.02.004}, volume = {100}, year = {2009} }

TY - JOUR ID - kunitomo:matsushita:2009 L3 - citeulike-article-id:5096578 N2 - Asymptotic expansions are made for the distributions of the Maximum Empirical Likelihood (MEL) estimator and the Estimating Equation (EE) estimator (or the Generalized Method of Moments (GMM) in econometrics) for the coefficients of a single structural equation in a system of linear simultaneous equations, which corresponds to a reduced rank regression model. The expansions in terms of the sample size, when the non-centrality parameters increase proportionally, are carried out to O ( n −1 ) . Comparisons of the distributions of the MEL and GMM estimators are made. Also, we relate the asymptotic expansions of the distributions of the MEL and GMM estimators to the corresponding expansions for the Limited Information Maximum Likelihood (LIML) and the Two-Stage Least Squares (TSLS) estimators. We give useful information on the higher order properties of alternative estimators including the semi-parametric inefficiency factor under the homoscedasticity assumption. IS - 8 JF - Journal of Multivariate Analysis SN - 0047259X EP - 1751 TI - Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations☆ VL - 100 SP - 1727 KW - econometric_theory KW - empirical_likelihood KW - multivariate AU - Kunitomo, Naoto AU - Matsushita, Yukitoshi PY - 2009/09// UR - http://dx.doi.org/10.1016/j.jmva.2009.02.004 ER -