Asymptotic Expansions and Higher Order Properties of Semi-Parametric Estimators in a System of Simultaneous Equations

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

No CIRJE-F-611, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

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.

Pages: 39 pages
Date: 2009-02
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (3)

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Journal Article: Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2009cf611

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