We develop the panel-limited information maximum likelihood approach for estimating dynamic panel structural equation models. When there are dynamic effects and endogenous variables with individual effects at the same time, the LIML method for the filtered data does give not only a consistent...

When an econometric structural equation includes two endogenous variables and their coefficients are normalized so that their sum of squares is 1, it is natural to express them as the sine and cosine of an angle. The Limited Information Maximum Likelihood (LIML) estimator of this angle when the...

Recently the various types of the equity-linked insurance have been introduced and actively traded in Japanese insurance markets. We investigate the basic problems of the actuarial risk management methods for those products based on the Markovian regime-switching time series model, which was...

Asymptotic expansions are made for the distributions of the Maximum Empirical Likelihood (MEL) estimator and the Estimating Equation (EE) estimator (or the Generalized Method of Moments (GMM) in econometrics) for the coefficients of a single structural equation in a system of linear simultaneous...

We consider the estimation of coefficients of a structural equation with many instrumental variables in a simultaneous equation system. It is mathematically equivalent to an estimating equation estimation or a reduced rank regression in the statistical linear models when the number of...