论非线性FIML的一致性

On the Consistency of Nonlinear FIML

Econometrica · 1982
被引 10
人大 A+FT50ABS 4*

中文导读

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。

Abstract

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.

非线性FIML拟极大似然估计一致性正态性假设