Optimizing in the class of Fuller modified limited information maximum likelihood estimators

A general class of Fuller modified maximum likelihood estimators are considered. It is shown that this class possesses finite moments. Asymptotic bias and asymptotic mean squared error are derived using small-[sigma] expansions. A simulation study is carried out to compare different estimators in this class with standard estimators.

MoreLess

Year of publication:	1992
Authors:	Kadiyala, K. R. ; Oberhelman, Dennis
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 43.1992, 2, p. 218-236
Publisher:	Elsevier
Keywords:	simultaneous equations small-[sigma] expansions limited information maximum likelihood k-class estimators

More details

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

Persistent link: https://www.econbiz.de/10005152984