Asyptopic Properties of Maximum Likelihood Estimators in a Nonlinear Regression Model with Unknown Parameters in the Disturbance Convariance Matrix

Risto Heijmans and Jan Magnus ()

No 293047, University of Amsterdam, Actuarial Science and Econometrics Archive from University of Amsterdam, Faculty of Economics and Business

Abstract: For the nonlinear regression model y t = X t (fi) t where the vector c is distributed N(0,Q(0)) it is shown that under fairly general condition the maximum likelihood estimator of e and 13 are consistent and asymptotically normal distributed.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 26
Date: 1977-10
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Persistent link: https://EconPapers.repec.org/RePEc:ags:amstas:293047

DOI: 10.22004/ag.econ.293047

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