Approximate Distributions in Essentially Linear Models
Mark An (),
Bent Jesper Christensen () and
Nicholas Kiefer ()
No 98-10, Working Papers from Duke University, Department of Economics
A new class of regression type models termed essentially linear models is proposed. The class is characterized by geometric considerations. Within the class the distribution of the maximum likelihood estimator is easily approximated by a natural extension of the pstar-formula even though the MLE itself is not typically achievable in closed form. The method has many econometric applications and works well in practice.
JEL-codes: C10 C20 C51 (search for similar items in EconPapers)
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Working Paper: Approximate Distributions in Essentially Linear Models (1998)
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