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 p-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, M.Y. ; Christensen, B.J. ; Kiefer, N.M.
Institutions:	School of Economics and Management, Institut for Økonomi
Subject:	ECONOMETRIC MODELS \| MODELS Aarhus C \| Danmark. 12p

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Series:	Centre for Labour Market and Social Research, Danmark-.
Type of publication:	Book / Working Paper
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/10005783430