Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096487 | Journal of Econometrics | 2012 | 17 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Kentaro Akashi, Naoto Kunitomo,