On the Consistency of Non-Linear FIML

Examples are given which show that:(i) normality is not Necessary for the consistency of the quasi maximum likelihood estimator in the nonlinear simultaneous equations model (nonlinear FIML) even when there are major departures from linearity; and (ii) the lemma which is used extensively by Amemiya [2] in the theoretical development of the properties of nonlinear FIML under the assumption of normality is, as presently stated, incorrect.

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Year of publication:	1980-12
Authors:	Phillips, Peter C.B.
Institutions:	Cowles Foundation for Research in Economics, Yale University

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	CFP 549. Published in Econometrica (September 1982), 50(5): 1307-1323 The price is None Number 573 18 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005593291