On the Consistency of Nonlinear FIML
举例说明两点:在非线性联立方程模型中,正态性并非拟极大似然估计量一致性的必要条件;Amemiya在正态性假设下用于推导非线性FIML性质的引理,目前表述有误。
Examples are given which show that:(i) normality is not Necessary for the consistency of the quasi maximum likelihood estimator in the nonlinear simultaneous equations model (nonlinear FIML) even when there are major departures from linearity; and (ii) the lemma which is used extensively by Amemiya [2] in the theoretical development of the properties of nonlinear FIML under the assumption of normality is, as presently stated, incorrect.