CONSISTENT MAXIMUM LIKELIHOOD ESTIMATION WITH DEPENDENT OBSERVATIONS: THE GENERAL (NON-NORMAL) CASE AND THE NORMAL CASE

Risto Heijmans and Jan Magnus ()

No 293107, University of Amsterdam, Actuarial Science and Econometrics Archive from University of Amsterdam, Faculty of Economics and Business

Abstract: These seems to be almost universal consensus among econometricians that the method of maximum likelihood estimation yields estimators which, under mild assumptions, are consistent. The purpose of this paper is to show that this unanimity is largely justified, but on grounds that are not quite so trivial as generally assumed.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 58
Date: 1985
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/293107/files/amsterdam067.pdf (application/pdf)

Related works:
Journal Article: Consistent maximum-likelihood estimation with dependent observations: The general (non-normal) case and the normal case (1986)
Working Paper: Consistent maximum-likelihood estimation with dependent observations: the general (non-normal) case and the normal case (1986)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:amstas:293107

DOI: 10.22004/ag.econ.293107

Access Statistics for this paper

More papers in University of Amsterdam, Actuarial Science and Econometrics Archive from University of Amsterdam, Faculty of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().