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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.

Suggested Citation

  • Lai, Hung-pin, 2008. "Maximum likelihood estimation of singular systems of equations," Economics Letters, Elsevier, vol. 99(1), pages 51-54, April.
  • Handle: RePEc:eee:ecolet:v:99:y:2008:i:1:p:51-54
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    References listed on IDEAS

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    1. Machado, Jose A.F. & Silva, J. M. C. Santos, 2005. "Quantiles for Counts," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1226-1237, December.
    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. 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.
    4. Ireland, Peter N., 2004. "A method for taking models to the data," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1205-1226, March.
    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. Ravenna Federico, 2016. "Testing monetary policy optimality using volatility outcomes: a novel approach," The B.E. Journal of Macroeconomics, De Gruyter, vol. 16(2), pages 597-621, June.
    2. Federico Ravenna, 2010. "Optimal Policy Restrictions on Observable Outcomes," Cahiers de recherche 1027, CIRPEE.

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