Weak Identification in Maximum Likelihood: A Question of Information

Isaiah Andrews and Anna Mikusheva

American Economic Review, 2014, vol. 104, issue 5, 195-99

Abstract: In this paper we connect the discrepancy between two estimates of Fisher information, one based on the quadratic variation of the score and the other based on the negative Hessian of the log-likelihood, to weak identification. Classical asymptotic approximations assume that these two estimates are asymptotically equivalent, but we show that this equivalence fails in many weakly identified models, which can distort the behavior of the MLE. Using a stylized DSGE model we show that the discrepancy between information estimates is large when identification is weak.

JEL-codes: C22 C32 E13 (search for similar items in EconPapers)
Date: 2014
Note: DOI: 10.1257/aer.104.5.195
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Citations: View citations in EconPapers (5)

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