The Reliability of Ml Estimators of Systems of Demand Equations: Evidence from OECD Countries
指出在大需求系统中，用最大似然估计近似未知误差协方差矩阵会导致系数估计的两个问题，并提出替代估计量，用OECD国家数据验证其显著改进。
In large demand systems, when the unknown error covariance matrix is approximated by its usual maximum likelihood estimator, the coefficient estimates are known to suffer from two problems: (1) the asymptotic standard errors severely understate the sampling variability of the estimates and (2) the efficiency of the maximum likelihood coefficient estimates is greatly impaired. In this paper, the author proposes an alternative estimator for the covariance matrix and evaluates its performance. Using time-series data for OECD countries, the author finds that there is a spectacular improvement. Copyright 1991 by MIT Press.