LIMITED INFORMATION MAXIMUM LIKELIHOOD USING PRINCIPAL COMPONENTS AND ITS APPLICATION

• ONISHI Haruo

  Institute of Socio-Economic Planning, University of Tsukuba

Abstract

In cases where the number of predetermined variables exceeds the sample size or strong multicollinearity occurs among excluded predetermined variables, the limited information maximum likelilhood and the least variance ratio cannot be used to estimate a simtultaneous equation system. We propose a method in which some effectively-influential principal components of excluded predetermined variables are employed as instrumental variables in place of the excluded predetermined variables. Then we demonstrate the estimation of a Cobb-Douglas agricutural production function with the proposed method.

Journal

• Journal of the Japanese Society of Computational Statistics

  Journal of the Japanese Society of Computational Statistics 6 (2), 11-19, 1993-12

  Japanese Society of Computational Statistics

Keywords

• Limited information maximum likelihood
• Least variance ratio
• Principal component analysis
• Cobb-Douglas production function
• Researcher System OEPP

Details

• CRID: 1570854176930630784
• NII Article ID: 110001235602
• NII Book ID: AA10823693
• ISSN: 09152350
• Text Lang: en
• Data Source:
  • CiNii Articles