Asymptotic Expansions of the Distributions of Semi-Parametric Estimators in a Linear Simultaneous Equations System

Naoto Kunitomo and Yukitoshi Matsushita
Additional contact information
Naoto Kunitomo: Faculty of Economics, University of Tokyo

No CIRJE-F-237, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: Asymptotic expansions are made of the distributions of a class of semi-parametric estimators including the Maximum Empirical Likelihood (MEL) method and the Generalized Method of Moments (GMM) for the coefficients of a single structural equation in the linear simultaneous equations system. The expansions in terms of the sample size, when the non-centrality parameters increase proportionally, are carried out to the order of O(n-2). Comparisons of the distributions of the MEL and GMM estimators are also made.

Pages: 43 pages
Date: 2003-08
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2003/2003cf237.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2003cf237

Access Statistics for this paper

More papers in CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo Contact information at EDIRC.
Bibliographic data for series maintained by CIRJE administrative office ().