Approximate Distributions in Essentially Linear Models
Duke Economics Working Paper No. 98-10
24 Pages Posted: 12 Mar 1999
There are 2 versions of this paper
Approximate Distributions in Essentially Linear Models
Centre for Labour Market and Social Research Working Paper No. 98-008
Number of pages: 24
Posted: 16 Nov 1999
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109
Date Written: June 1998
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 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 Classification: C10, C20, C51
Suggested Citation: Suggested Citation
An, Mark Yuying and Christensen, Bent Jesper and Kiefer, Nicholas M., Approximate Distributions in Essentially Linear Models (June 1998). Duke Economics Working Paper No. 98-10, Available at SSRN: https://ssrn.com/abstract=147928 or http://dx.doi.org/10.2139/ssrn.147928
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