Some properties of the LIML estimator in a dynamic panel structural equation

DOI10.1016/J.JECONOM.2011.08.005MaRDI QIDQ738111zbMATH OpenOpenAlexFDO

Authors Kentaro Akashi, Naoto Kunitomo

Publication date 15 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2011.08.005

zbMATH Keywords

dynamic panel modelGMMLIMLmany orthogonal conditionsRQMLsimultaneous equationwithin-groups estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• Analysis of panel data
• Another look at the instrumental variable estimation of error-components models
• Estimation of Dynamic Models with Error Components
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator
• Formulation and estimation of dynamic models using panel data
• GMM Estimation with persistent panel data: an application to production functions
• scientific article; zbMATH DE number 805005 (Why is no real title available?)
• On the asymptotic optimality of the LIML estimator with possibly many instruments
• Panel Data Econometrics
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators

Cited in

(9)

• The limited information maximum likelihood approach to dynamic panel structural equation models
• Many IVs estimation of dynamic panel regression models with measurement error
• Jive for panel dynamic simultaneous equations models
• Challenges for panel financial analysis
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• ML and GMM with concentrated instruments in the static panel data model
• First difference transformation in panel VAR models: robustness, estimation, and inference
• LIML in the static linear panel data model
• Statistical inference for panel dynamic simultaneous equations models

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