Some Properties of the LIML Estimator in a Dynamic Panel Structural Equation

Kentaro Akashi and Naoto Kunitomo
Additional contact information
Naoto Kunitomo: Faculty of Economics, University of Tokyo

No CIRJE-F-707, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: We investigate the finite sample and asymptotic properties of several estimation methods (Within-Group, GMM and LIML) for a panel autoregressive structural equation model with random effects when both T and N are large. When we use the forward-filtering to a structural model as Alvarez and Arellano (2003), both the WG and GMM estimators are significantly biased when both T and N go to infinity while T/N is different from zero. The LIML (limited information maximum likelihood) estimator has consistency and the asymptotic normality when T/N converges to a constant as both T and N go to infinity. Its asymptotic distribution has some bias and covariance which depend on the limiting behavior of T/N.

Pages: 46pages
Date: 2010-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf707.pdf (application/pdf)

Related works:
Journal Article: Some properties of the LIML estimator in a dynamic panel structural equation (2012)
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:2010cf707

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 ().