Maximum likelihood estimation of a multivariate linear functional relationship

Many authors have discussed maximum likelihood estimation in the simple linear functional relationship model. In this paper, we derive maximum likelihood estimators (MLEs) for parameters in a much more general model. Several special cases including the multivariate linear functional relationship model are discussed. Estimators of some of the parameters are shown to be inconsistent.

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Year of publication:	1980
Authors:	Healy, John D.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 10.1980, 2, p. 243-251
Publisher:	Elsevier
Keywords:	Linear functional relationship maximum likelihood estimation consistency

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

Persistent link: https://www.econbiz.de/10005021308