Home>Publications>Econometrica>Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Mode in the Context of Maximum Likelihood Estimation
Statistical inference for a system of simultaneous, nonlinear, implicit equations is discussed. The discussion considers inference as an adjunct to maximum likelihood estimation rather than in a general setting. The null and non-null asymptotic distributions of the Wald test, the Lagrange multiplier test (Rao's efficient score test), and the likelihood ratio test are obtained. Several refinements in the existing theory of maximum likelihood estimation are accomplished as intermediate steps.
MLA
Gallant, A. Ronald, and Alberto Holly. “Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Mode in the Context of Maximum Likelihood Estimation.” Econometrica, vol. 48, .no 3, Econometric Society, 1980, pp. 697-720, https://www.jstor.org/stable/1913131
Chicago
Gallant, A. Ronald, and Alberto Holly. “Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Mode in the Context of Maximum Likelihood Estimation.” Econometrica, 48, .no 3, (Econometric Society: 1980), 697-720. https://www.jstor.org/stable/1913131
APA
Gallant, A. R., & Holly, A. (1980). Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Mode in the Context of Maximum Likelihood Estimation. Econometrica, 48(3), 697-720. https://www.jstor.org/stable/1913131
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