A note on the uniqueness of the quasi-likelihood estimator

The existence and the asymptotic performance of the quasi-likelihood estimator was studied by Kagan (1976), McCullagh (1983) and Morton (1981). However, their proof do not reveal whether multiple roots may yield one or more consistent solutions. In this paper, arguing as Cramer (1946), Huzurbazar (1948) we prove that if there is a consistent quasi-likelihood estimator, then it is unique with probability tending to one.

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Year of publication:	1998
Authors:	Tzavelas, George
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 38.1998, 2, p. 125-130
Publisher:	Elsevier
Keywords:	Consistency Estimating function Uniqueness of quasi-likelihood estimator

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005143396