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Approximate Distributions in Essentially Linear Models

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Author Info
An, Mark Y.
Christensen, Bent Jesper
Kiefer, Nicholas M.

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Abstract

A new class of regression type models termed essentially linear models is proposed. The class is characterized by geometric considerations. Within the class the distribution of the maximum likelihood estimator is easily approximated by a natural extension of the pstar-formula even though the MLE itself is not typically achievable in closed form. The method has many econometric applications and works well in practice.

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Paper provided by Duke University, Department of Economics in its series Working Papers with number 98-10.

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Date of creation: 1998
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Handle: RePEc:duk:dukeec:98-10

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Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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