On the Consistency of Non-Linear FIML
Examples 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.
|Date of creation:||Dec 1980|
|Publication status:||Published in Econometrica (September 1982), 50(5): 1307-1323|
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- Fair, Ray C. & Parke, William R., 1980.
"Full-information estimates of a nonlinear macroeconometric model,"
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- 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.
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- 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.