Advanced Search
MyIDEAS: Login

Maximum likelihood estimates for the Hildreth-Houck random coefficients model

Contents:

Author Info

  • Asad Zaman

    ()
    (Economics Department, L.U. M. S. opp. Sec. U, Pakistan)

Abstract

We explore maximum likelihood (ML) estimation of the Hildreth-Houck random coefficients model. We show that the global ML estimator can be inconsistent. We develop an alternative LML (local ML) estimator and prove that it is consistent and asymptotically efficient for points in the interior of the parameters. Properties of the LML and comparisons with common method of moments (MM) estimates are done via Monte Carlo. Boundary parameters lead to nonstandard asymptotic distributions for the LML which are described. The LML is used to develop a modification of the LR test for random coefficients. Simulations suggest that the LR test is more powerful for distant alternatives than the Breusch-Pagan (BP) Lagrange multiplier test. A simple modification of the BP test also appears to be more powerful than the BP. Copyright Royal Economic Society 2002

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.blackwell-synergy.com/servlet/useragent?func=synergy&synergyAction=showTOC&journalCode=ectj&volume=5&issue=1&year=2002&part=null
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Royal Economic Society in its journal The Econometrics Journal.

Volume (Year): 5 (2002)
Issue (Month): 1 (June)
Pages: 237-262

as in new window
Handle: RePEc:ect:emjrnl:v:5:y:2002:i:1:p:237-262

Contact details of provider:
Postal: Office of the Secretary-General, School of Economics and Finance, University of St. Andrews, St. Andrews, Fife, KY16 9AL, UK
Phone: +44 1334 462479
Email:
Web page: http://www.res.org.uk/
More information through EDIRC

Order Information:
Web: http://www.ectj.org

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Maasoumi, Esfandiar & Zaman, Asad & Ahmed, Mumtaz, 2010. "Tests for structural change, aggregation, and homogeneity," Economic Modelling, Elsevier, vol. 27(6), pages 1382-1391, November.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ect:emjrnl:v:5:y:2002:i:1:p:237-262. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.