The Conditional Limited Information Maximum Likelihood Approach to Dynamic Panel Structural Equations

Naoto Kunitomo and Kentaro Akashi
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Naoto Kunitomo: Faculty of Economics, University of Tokyo

No CIRJE-F-503, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: 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.

Pages: 33 pages
Date: 2007-07
New Economics Papers: this item is included in nep-ecm and nep-ets
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