CIRJE-F-321 | "A New Light from Old Wisdoms: Alternative Estimation Methods of Simultaneous Equations and Microeconometric Models" |
Author Name | Anderson, T. W., Naoto Kunitomo and Yukitoshi Matsushita |
Date | February 2005 |
Full Paper | PDF file@ |
Remarks | Revised as CIRJE-F-399; subsequently published in Journal of Econometrics, Vol.157, 191-204, 2010.@ |
Abstract |
We compare four different estimation methods for a coefficient 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 a generalized
method of moments (GMM) (or the estimating equation) estimator. Tables and
figures are given for enough values of the parameters to cover most of interest. We
have found that the LIML estimator has good performance when the number of
instruments is large, that is, the micro-econometric models with many instruments
or many weak instruments in the terminology of recent econometric literatures.
We give a new result on the asymptotic optimality of the LIML estimator when
the number of instruments is large. |