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

K. R. Kadiyala and Dennis Oberhelman

Journal of Multivariate Analysis, 1992, vol. 43, issue 2, 218-236

Abstract: 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.

Keywords: simultaneous; equations; small-[sigma]; expansions; limited; information; maximum; likelihood; k-class; estimators (search for similar items in EconPapers)
Date: 1992
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