Statistical Inference in an Implicit Nonlinear, Simultaneous Equation Model in the Context of Maximum Likelihood Estimation

Détails

ID Serval
serval:BIB_0EB4B867893C
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Statistical Inference in an Implicit Nonlinear, Simultaneous Equation Model in the Context of Maximum Likelihood Estimation
Périodique
Econometrica
Auteur⸱e⸱s
Gallant A. Ronald , Holly Alberto
ISSN
0012-9682
Statut éditorial
Publié
Date de publication
1980
Peer-reviewed
Oui
Volume
48
Numéro
3
Pages
697-720
Langue
anglais
Résumé
Statistical inference for a system of simultaneous, nonlinear, implicit equations is discussed. The discussion considers inference as an adjunct to maximum likelihood estimation rather than in a general setting. The null and non-null asymptotic distributions of the Wald test, the Lagrange multiplier test (Rao's efficient score test), and the likelihood ratio test are obtained. Several refinements in the existing theory of maximum likelihood estimation are accomplished as intermediate steps.
Création de la notice
06/10/2010 17:38
Dernière modification de la notice
20/08/2019 12:35
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