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Some properties of the LIML estimator in a dynamic panel structural equation
Authors:Kentaro AkashiNaoto Kunitomo
Affiliation:
  • a Faculty of Economics, Gakushuin University, Japan
  • b Graduate School of Economics, University of Tokyo, Japan
  • 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:C23   C33   C36
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