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Limited Information Maximum Likelihood Estimation Of A Subsystem Of Nonlinear Equations

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  • van der Loeff, S. Schim

Abstract

This paper discusses the maximum likelihood estimation of the parameters of a subsystem of nonlinear equations under partial disregard of structural information. It provides a generalization of Godfrey and Wickens' (1982) limited information estimator to subsystems of nonlinear equations and Amemiya's (1975) nonlinear limited information estimator to subsystems containing more than one equation. Some attention is devoted to the asymptotic properties of the estimator and different estimators for the asymptotic covariance matrix are discussed. The estimation method is illustrated by means of an example dealing with the estimation of an aggregate two-level CES production function for The Netherlands' enterprises sector.

Suggested Citation

  • van der Loeff, S. Schim, 1985. "Limited Information Maximum Likelihood Estimation Of A Subsystem Of Nonlinear Equations," Econometric Institute Archives 272294, Erasmus University Rotterdam.
    • Handle: RePEc:ags:eureia:272294
    DOI: 10.22004/ag.econ.272294
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    References listed on IDEAS

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    1. Berndt, Ernst R & Wood, David O, 1975. "Technology, Prices, and the Derived Demand for Energy," The Review of Economics and Statistics, MIT Press, vol. 57(3), pages 259-268, August.
    2. Ter Berg, Peter & Harkema, Rins, 1984. "Bayesian limited-information analysis of nonlinear simultaneous equations systems," Journal of Econometrics, Elsevier, vol. 24(3), pages 379-395, March.
    3. Amemiya, Takeshi, 1975. "The nonlinear limited-information maximum- likelihood estimator and the modified nonlinear two-stage least-squares estimator," Journal of Econometrics, Elsevier, vol. 3(4), pages 375-386, November.
    4. T. S. Breusch & A. R. Pagan, 1980. "The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 47(1), pages 239-253.
    5. Wales, T. J., 1984. "A note on likelihood ratio tests of functional form and structural change in demand systems," Economics Letters, Elsevier, vol. 14(2-3), pages 213-220.
    6. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665, National Bureau of Economic Research, Inc.
    7. Davidson, Russel & MacKinnon, James G., 1983. "Small sample properties of alternative forms of the Lagrange Multiplier test," Economics Letters, Elsevier, vol. 12(3-4), pages 269-275.
    8. Godfrey, L. G. & Wickens, M. R., 1982. "A simple derivation of the limited information maximum likelihood estimator," Economics Letters, Elsevier, vol. 10(3-4), pages 277-283.
    9. Amemiya, Takeshi, 1977. "The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model," Econometrica, Econometric Society, vol. 45(4), pages 955-968, May.
    10. Loeff, Sybrand Schim van der & Harkema, Rins, 1981. "Estimation and testing of alternative production function models," Journal of Macroeconomics, Elsevier, vol. 3(1), pages 33-53.
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