Approximate maximum likelihood estimation in linear regression
Consider the linear regression model \(y_ j=x_ j'\beta+e_ j\), \(1\leq j\leq n\), where \(\beta\in R^ m\) and \(e_ j\) are unobserved errors. The application of the ML method in the linear regression model requires a parametric form for the error density. When this is not available, the density may be parametrized by its cumulants \((\kappa_ 1)\) and then the ML applied. In this article, results are derived under the assumption (assumption 3) that the standardized cumulants \(\gamma_ i\) satisfy \(\gamma_ i=\kappa_{i+2}/\kappa_ 2^{(i+2)/2}=O(\nu)\) as \(\nu\to 0\) for \(i>0\). From this assumption, the distribution associated with the log likelihood of the disturbances \(e_ i\) can be obtained. In addition, when other assumptions (assumption 1 and 2) are satisfied, a simple form of the inverse AIM (approximate information matrix) can be determined and the AML (approximate maximum likelihood) estimator (denoted by \(\hat\theta)\) of \(\theta\) can be obtained by using iteration methods. Using assumptions 1, 2 and 4, then as \(n\to\infty,\) \[ n^{1/2}(\hat\theta-\theta)@>d>>N[0, \lim V(\theta')]. \] The author gives the asymptotic relative efficiency \(e\) of the AML estimator with respect to the LS estimator. When \(e>1\), the length of the AML confidence interval for the slope parameters is shorter than the length of the LS confidence interval and using the AML estimators to test the hypotheses on the slope parameters is more powerful than using the LS estimators to test the hypotheses. The author also derives the bias of the AML estimators. The spirit of the AML method is to use a simple approximation to reproduce the distribution of the disturbance and then to estimate the parameters.
- scientific article; zbMATH DE number 3982321
- Approximate minimax estimation in linear regression: theoretical results
- Likelihood inference for linear regression models
- Approximate minimax estimation in linear regression: a simulation study
- Maximum likelihood approach to parameter estimation for linear functional relationships
- Publication:4729189
- scientific article; zbMATH DE number 418922
- scientific article; zbMATH DE number 3932227
- Adaptive estimation of non–linear regression models
- Adaptive maximum likelihood estimators of a location parameter
- Efficient estimation in the errors in variables model
- scientific article; zbMATH DE number 3954047 (Why is no real title available?)
- scientific article; zbMATH DE number 3517666 (Why is no real title available?)
- scientific article; zbMATH DE number 3522963 (Why is no real title available?)
- scientific article; zbMATH DE number 3599370 (Why is no real title available?)
- scientific article; zbMATH DE number 3097675 (Why is no real title available?)
- Model specification tests. A simultaneous approach
- Monte Carlo evidence on adaptive maximum likelihood estimation of a regression
- On adaptive estimation
- On adaptive estimation in stationary ARMA processes
- On asymptotically efficient estimation in semiparametric models
- Semi-Nonparametric Maximum Likelihood Estimation
- Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
- Inference about the slope in linear regression: an empirical likelihood approach
- scientific article; zbMATH DE number 418922 (Why is no real title available?)
- A maximum likelihood prediction function for the linear model with consistency results
- An approximate maximum likelihood procedure for parameter estimation in multivariate discrete data regression models
This page was built for publication: Approximate maximum likelihood estimation in linear regression
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1260703)
