Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Sep, 1982, Volume 50, Issue 5

On the Consistency of Nonlinear FIML

https://doi.org/0012-9682(198209)50:5<1307:OTCONF>2.0.CO;2-8
p. 1307-1324

P. C. B. Phillips

Examples are given which show that 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. A possibility theorem is proved which demonstrates that when nonlinear FIML is consistent under normality it is always possible to find a nonnormal error distribution for which the consistency of nonlinear FIML is maintained. The procedure that is developed for finding a class of error distributions which preserve the consistency of nonlinear FIML can be applied more generally and may be useful in other contexts.


Log In To View Full Content

Journal News

View