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

Naoto Kunitomo and Yukitoshi Matsushita

Journal of Multivariate Analysis, 2009, vol. 100, issue 8, 1727-1751

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.

Keywords: Asymptotic; expansions; Empirical; likelihood; Estimating; equation; Generalized; method; of; moments; Limited; information; maximum; likelihood; Two-stage; least; squares; Linear; simultaneous; equations; Reduced; rank; regression (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (4)

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