Econometrica Vol. 50 No. 5 1982
On the Consistency of Nonlinear FIML
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.
- DOI
- 10.2307/1911875
- Volume
- 50
- Issue
- 5
- Pages
- 1307
- Sources
- bibtex:phds-export.bib openalex crossref