کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096661 | 1376541 | 2011 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments](/preview/png/5096661.png)
چکیده انگلیسی
We compare four different estimation methods for the coefficients of a linear structural equation with instrumental variables. As the classical methods we consider the limited information maximum likelihood (LIML) estimator and the two-stage least squares (TSLS) estimator, and as the semi-parametric estimation methods we consider the maximum empirical likelihood (MEL) estimator and the generalized method of moments (GMM) (or the estimating equation) estimator. Tables and figures of the distribution functions of four estimators are given for enough values of the parameters to cover most linear models of interest and we include some heteroscedastic cases and nonlinear cases. We have found that the LIML estimator has good performance in terms of the bounded loss functions and probabilities when the number of instruments is large, that is, the micro-econometric models with “many instruments” in the terminology of recent econometric literature.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 165, Issue 1, 3 November 2011, Pages 58-69
Journal: Journal of Econometrics - Volume 165, Issue 1, 3 November 2011, Pages 58-69
نویسندگان
T.W. Anderson, Naoto Kunitomo, Yukitoshi Matsushita,