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Identification and Kullback Information in the GLSEM

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Author Info
Dhrymes, P.J.
Abstract

In this paper we employ the Kullback Information apparatus in (a) obtaining the strong consistency of the maximum likelihood (ML) estimator in the standard version of the general linear structural econometric model (GLSEM); (b) deriving very succintly the necessary and sufficient (nas) conditions for identification by the use of exclusion restrictions.

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Publisher Info
Paper provided by Columbia University, Department of Economics in its series Discussion Papers with number 1996_04.

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Length: 24 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:clu:wpaper:1996_04

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Related research
Keywords: INFORMATION; EVALUATION; ECONOMETRICS;

Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information

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