Approximate Distributions in Essentially Linear Models

A new class of regression type models termed essentially linear models is proposed. The class is characterized by geometric considerations. Within the class the distribution of the maximum likelihood estimator is easily approximated by a natural extension of the pstar-formula even though the MLE itself is not typically achievable in closed form. The method has many econometric applications and works well in practice.

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Year of publication:	1998
Authors:	An, Mark Y. ; Christensen, Bent Jesper ; Kiefer, Nicholas M.
Institutions:	Duke University, Department of Economics

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 98-10
Classification:	C10 - Econometric and Statistical Methods: General. General ; C20 - Econometric Methods: Single Equation Models. General ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005787332