Approximate Distributions in Essentially Linear Models

A new class of regression type models termed essentially linear models is proposed. The class is characterized by geometric considerations. Within the class the distribution of the maximum likelihood estimator is easily approximated by a natural extension of the p*-formula even though the MLE itself is not typically achievable in closed form. The method has many econometric applications and works well in practice

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Year of publication:	1999
Authors:	An, Mark Yuying ; Christensen, Bent Jesper ; Kiefer, Nicholas M.
Publisher:	[S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory \| Wahrscheinlichkeitsrechnung \| Probability theory \| Statistische Verteilung \| Statistical distribution

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Extent:	1 Online-Ressource (24 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 1998 erstellt
Other identifiers:	10.2139/ssrn.176074 [DOI]
Classification:	C10 - Econometric and Statistical Methods: General. General ; C20 - Econometric Methods: Single Equation Models. General ; C51 - Model Construction and Estimation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014186028