CIRJE-F-200. Kunitomo, Naoto and Yukitoshi Matsushita, "On Finite Sample Distributions of the Empirical Likelihood Estimator and the GMM Estimator", March 2003.

The distributions of the Maximum Empirical Likelihood (MEL)estimator and the Generalized Method o Moments (GMM)estimator for the coe cient o one endogenous variable in a linear structural equation are evaluated numerically.Tables and gures are given for enough values of the parameters to cover most of interest.Comparisons of the distributions of the MEL estimator and the GMM estimator with their asymptotic expansions are made.