Asymptotic expansions are made of the distributions of a class of
semi-parametric estimators including the Maximum Empirical Likelihood
(MEL) method and the Generalized Method of Moments (GMM) for the
coefficients of a single structural equation in the linear simultaneous
equations system. The expansions in terms of the sample size, when the
non-centrality parameters increase proportionally, are carried out to
the order of O (n-2). Comparisons of the
distributions of the MEL and GMM estimators are also made. |