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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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    1. 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.
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    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. Federico Ravenna, 2010. "Optimal Policy Restrictions on Observable Outcomes," Cahiers de recherche 1027, CIRPEE.
    2. 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.

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