On the Consistency of Non-Linear FIML
AbstractExamples are given which show that:(i) normality is not Necessary for the consistency of the quasi maximum likelihood estimator in the nonlinear simultaneous equations model (nonlinear FIML) even when there are major departures from linearity; and (ii) the lemma which is used extensively by Amemiya  in the theoretical development of the properties of nonlinear FIML under the assumption of normality is, as presently stated, incorrect.
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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 573.
Length: 18 pages
Date of creation: Dec 1980
Date of revision:
Publication status: Published in Econometrica (September 1982), 50(5): 1307-1323
Note: CFP 549.
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- Amemiya, Takeshi, 1974. "The nonlinear two-stage least-squares estimator," Journal of Econometrics, Elsevier, vol. 2(2), pages 105-110, July.
- Gallant, A Ronald & Holly, Alberto, 1980. "Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Model in the Context of Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 48(3), pages 697-720, April.
- Ray C. Fair & William R. Parke, 1979.
"Full Information Estimates of a Nonlinear Macroeconometric Model,"
Cowles Foundation Discussion Papers
519, Cowles Foundation for Research in Economics, Yale University.
- Fair, Ray C. & Parke, William R., 1980. "Full-information estimates of a nonlinear macroeconometric model," Journal of Econometrics, Elsevier, vol. 13(3), pages 269-291, August.
- Gallant, A. Ronald, 1977. "Three-stage least-squares estimation for a system of simultaneous, nonlinear, implicit equations," Journal of Econometrics, Elsevier, vol. 5(1), pages 71-88, January.
- Claire Mosnier & Arnaud Reynaud & Alban Thomas & Michel Lherm & Jacques Agabriel, 2009.
"Estimating a production function under production and output price risks: An application to beef cattle in France,"
LERNA Working Papers
09.10.286, LERNA, University of Toulouse.
- Agabriel, Jacques & Lherm, Michel & Mosnier, Claire & Reynaud, Arnaud & Thomas, Alban, 2009. "Estimating a Production Function under Production and Output Price Risks: An Application to Beef Cattle in France," TSE Working Papers 09-046, Toulouse School of Economics (TSE).
- Calzolari, Giorgio, 1992.
"Stima delle equazioni simultanee non-lineari: una rassegna
[Estimation of nonlinear simultaneous equations: a survey]," MPRA Paper 24123, University Library of Munich, Germany, revised 1992.
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