Some properties of the LIML estimator in a dynamic panel structural equation

Kentaro Akashi and Naoto Kunitomo

Journal of Econometrics, 2012, vol. 166, issue 2, 167-183

Abstract: We investigate the finite sample and asymptotic properties of the within-groups (WG), the random-effects quasi-maximum likelihood (RQML), the generalized method of moment (GMM) and the limited information maximum likelihood (LIML) estimators for a panel autoregressive structural equation model with random effects when both T (time-dimension) and N (cross-section dimension) are large. When we use the forward-filtering due to Alvarez and Arellano (2003), the WG, the RQML and GMM estimators are significantly biased when both T and N are large while T/N is different from zero. The LIML estimator gives desirable asymptotic properties when T/N converges to a constant.

Keywords: Dynamic panel model; Simultaneous equation; Within-groups estimator; RQML; GMM; LIML; Many orthogonal conditions (search for similar items in EconPapers)
JEL-codes: C23 C33 C36 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:166:y:2012:i:2:p:167-183

DOI: 10.1016/j.jeconom.2011.08.005

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