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Approximate Distributions in Essentially Linear Models

Mark An (), Bent Jesper Christensen () and Nicholas Kiefer ()

Working Papers from Centre for Labour Market and Social Research, Danmark-

Abstract: 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 p-formula even though the MLE itself is not typically achievable in closed form. The method has many econometric applications and works well in practice.

Keywords: ECONOMETRIC MODELS; MODELS Aarhus C, Danmark. 12p. (search for similar items in EconPapers)
JEL-codes: C10 C20 C51 (search for similar items in EconPapers)
Date: 1998
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