On the Consistency of Non-Linear FIML

Peter Phillips

No 573, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: Examples are given which show that:(i) normality is not Necessary for the consistency of the quasi maximum likelihood estimator in the nonlinear simultaneous equations model (nonlinear FIML) even when there are major departures from linearity; and (ii) the lemma which is used extensively by Amemiya [2] in the theoretical development of the properties of nonlinear FIML under the assumption of normality is, as presently stated, incorrect.

Pages: 18 pages
Date: 1980-12
Note: CFP 549.
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Published in Econometrica (September 1982), 50(5): 1307-1323

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