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On then estimation of non-linear regression models with momentless distributed errors

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  • Bierens, H.J.

Abstract

This paper considers the estimation of the parameters of a non-linear regression equation. Instead of the usual assumptions about the first and second moments of the error distribution, the assumption is made that the p.d.f. of the convolution of this distribution and the normal distribution has a unique global maximum. Conditions are given so that the estimator obtained is strongly consistent and asymptotically normally distributed and attention is paid to its asymptotic efficiency. Moreover, the method is extended to the multivariate case.

Suggested Citation

  • Bierens, H.J., 1976. "On then estimation of non-linear regression models with momentless distributed errors," University of Amsterdam, Actuarial Science and Econometrics Archive 293029, University of Amsterdam, Faculty of Economics and Business.
    • Handle: RePEc:ags:amstas:293029
    DOI: 10.22004/ag.econ.293029
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    Research Methods/ Statistical Methods;

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