The Maximum Likelihood Stage Least Squares Estimator in the Nonlinear Simultaneous Equations Model / Takeshi Amemiya.

Format:

Book

Author/Creator:

Amemiya, Takeshi.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w0090.

NBER working paper series no. w0090

Language:

English

Subjects (All):

Econometric models.

Econometrics.

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1975.

Cambridge, Massachusetts : National Bureau of Economic Research, 1975.

Summary:

The consistency and the asymptotic normality of the maximum likelihood estimator in the general nonlinear simultaneous equation model are proved. It is shown that the proof depends on the assumption of normality unlike in the linear simultaneous equation model. It is proved that the maximum likelihood estimator is asymptotically more efficient than the nonlinear three-stage least squares estimator if the specification is correct, However, the latter has the advantage of being consistent even when the normality assumption is removed. Hausrnan' s instrumental-variable-interpretation of the maximum likelihood estimator is extended to the general nonlinear simultaneous equation model.

Notes:

Print version record

June 1975.