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Maximum likelihood estimation of singular systems of equations

Hung-pin Lai ()

Economics Letters, 2008, vol. 99, issue 1, 51-54

Abstract: This paper deals with maximum likelihood estimation with singular systems of equations. We propose to estimate the singular systems by convoluted-likelihood functions. The consistency and asymptotic normality of the estimator are also established.

Date: 2008
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Handle: RePEc:eee:ecolet:v:99:y:2008:i:1:p:51-54