On the Role of Jacobian Terms in Maximum Likelihood Estimation
Because of the presence of Jacobian terms, determinants which arise as a result of a transformation of variables, many common likelihood functions have singularities. This fact has several implications for maximum likelihood estimation. The most interesting of these is that singularities often correspond with economically meaningful restrictions, and can be used to impose the latter. Several applications of this principle are presented. They suggest that maximum likelihood should be preferred to other estimation schemes not only because of its optimal large-sample statistical properties, but also because of its ability to incorporate certain a priori restrictions from economic theory.
|Date of creation:||1978|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (613) 533-2250
Fax: (613) 533-6668
Web page: http://qed.econ.queensu.ca/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Beach, Charles M & MacKinnon, James G, 1978. "A Maximum Likelihood Procedure for Regression with Autocorrelated Errors," Econometrica, Econometric Society, vol. 46(1), pages 51-58, January.
- Beach, Charles M. & MacKinnon, James G., 1978.
"Full maximum likelihood estimation of second- order autoregressive error models,"
Journal of Econometrics,
Elsevier, vol. 7(2), pages 187-198, June.
- Charles M. Beach & James G. MacKinnon, 1977. "Full Maximum Likelihood Estimation of Second-Order Autoregressive Error Models," Working Papers 259, Queen's University, Department of Economics.
When requesting a correction, please mention this item's handle: RePEc:qed:wpaper:304. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mark Babcock)
If references are entirely missing, you can add them using this form.