EMPIRICAL LIKELIHOOD ESTIMATORS OF THE LINEAR SIMULTANEOUS EQUATIONS MODEL

Thomas L. Marsh, Ron C. Mittelhammer and George G. Judge

No 20752, 2001 Annual meeting, August 5-8, Chicago, IL from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: Information theoretic estimators are specified for a system of linear simultaneous equations, including maximum empirical likelihood, maximum empirical exponential likelihood, and maximum log Euclidean likelihood. Monte Carlo experiments are used to compare finite sample performance of these estimators to traditional generalized method of moments.

Keywords: Research Methods/ Statistical Methods (search for similar items in EconPapers)
Date: 2001
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