NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Takeshi Amemiya

Stanford University

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Institutional Affiliation: Stanford University

NBER Working Papers and Publications

July 1975Qualitative Response Models
in Annals of Economic and Social Measurement, Volume 4, number 3, Sanford V. Berg, editor
June 1975The Maximum Likelihood Stage Least Squares Estimator in the Nonlinear Simultaneous Equations Model
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The consistency and the asymptotic normality of the maximum likelihood estimator in the general nonlinear simultaneous equation model are proved. It is shown that the proof depends on the assumption of normality unlike in the linear simultaneous equation model. It is proved that the maximum likelihood estimator is asymptotically more efficient than the nonlinear three-stage least squares estimator if the specification is correct, However, the latter has the advantage of being consistent even when the normality assumption is removed. Hausrnan' s instrumental-variable-interpretation of the maximum likelihood estimator is extended to the general nonlinear simultaneous equation model.

Published:

  • (Published as "The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model") Econometrica (1977).(Published as "The Maximum Likelihood, the Minimum Chi-Square and the
  • Bierens, Herman J. and A. Ronald Gallant (eds.) Nonlinear models. Volume 2 Elgar Reference Collection. International Library of Critical Writings in Econometrics, vol. 8. Cheltenham, U.K. and Lyme, NH: Elgar, 1997.

 
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