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

Details

Serval ID
serval:BIB_0EB4B867893C
Type
Article: article from journal or magazin.
Collection
Publications
Title
Statistical Inference in an Implicit Nonlinear, Simultaneous Equation Model in the Context of Maximum Likelihood Estimation
Journal
Econometrica
Author(s)
Gallant A. Ronald , Holly Alberto
ISSN
0012-9682
Publication state
Published
Issued date
1980
Peer-reviewed
Oui
Volume
48
Number
3
Pages
697-720
Language
english
Abstract
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.
Create date
06/10/2010 17:38
Last modification date
20/08/2019 12:35
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