Degeneracy in Heteroscedastic Regression Models

The maximum likelihood estimation in a regression model with heteroscedastic errors is considered. When the design matrices in the model are inappropriately specified, the maximum likelihood estimates of the variances of certain observations are found to be zero irrespective of the observed values, resulting in degeneracy. Necessary and sufficient conditions for degeneracy are given and used for its avoidance.

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Year of publication:	2000
Authors:	Li, Kim-Hung ; Chan, Nai Ng
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 74.2000, 2, p. 282-295
Publisher:	Elsevier
Subject:	degeneracy \| generalized linear model with varying dispersion \| heteroscedastic error \| unbounded likelihood

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

Persistent link: https://www.econbiz.de/10005221346