On the Maximum Likelihood estimation of a linear structural relationship when the intercept is known

Lai K. Chan and Tak K. Mak

Journal of Multivariate Analysis, 1979, vol. 9, issue 2, 304-313

Abstract: This paper considers the Maximum Likelihood (ML) estimation of the five parameters of a linear structural relationship y = [alpha] + [beta]x when [alpha] is known. The parameters are [beta], the two variances of observation errors on x and y, the mean and variance of x. When the ML estimates of the parameters cannot be obtained by solving a simple simultaneous system of five equations, they are found by maximizing the likelihood function directly. Some asymptotic properties of the estimates are also obtained.

Keywords: linear; structural; relationship; known; intercept; maximum; likelihood; estimation (search for similar items in EconPapers)
Date: 1979
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Citations: View citations in EconPapers (6)

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