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Maximum likelihood estimation of singular systems of equations

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  • Lai, Hung-pin

Abstract

This paper deals with maximum likelihood estimation with singular systems of equations. We propose to estimate the singular systems by convoluted-likelihood functions. The consistency and asymptotic normality of the estimator are also established.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4NWCD7Y-2/1/491925e2172b7a11a8c6392dc0069881
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 99 (2008)
Issue (Month): 1 (April)
Pages: 51-54

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Handle: RePEc:eee:ecolet:v:99:y:2008:i:1:p:51-54

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Web page: http://www.elsevier.com/locate/ecolet

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  1. Jose A. F. Machado & J. M. C. Santos Silva, 2002. "Quantiles for counts," CeMMAP working papers CWP22/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Berndt, Ernst R & Christensen, Laurits R, 1974. "Testing for the Existence of a Consistent Aggregate Index of Labor Inputs," American Economic Review, American Economic Association, vol. 64(3), pages 391-404, June.
  3. Peter N. Ireland, 1999. "A Method for Taking Models to the Data," Boston College Working Papers in Economics 421, Boston College Department of Economics.
  4. Bierens, Herman J. & Swanson, Norman R., 2000. "The econometric consequences of the ceteris paribus condition in economic theory," Journal of Econometrics, Elsevier, vol. 95(2), pages 223-253, April.
  5. Bierens, Herman J., 2007. "Econometric analysis of linearized singular dynamic stochastic general equilibrium models," Journal of Econometrics, Elsevier, vol. 136(2), pages 595-627, February.
  6. DeJong, David N & Ingram, Beth Fisher & Whiteman, Charles H, 1996. "A Bayesian Approach to Calibration," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 1-9, January.
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Cited by:
  1. Federico Ravenna, 2010. "Optimal Policy Restrictions on Observable Outcomes," Cahiers de recherche 1027, CIRPEE.

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