We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
PML versus minimum χ2: the comeback.
- Authors
Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique
- Abstract
Arellano (J Econ 42:247–265, 1989a) showed that valid equality restrictions on covariance matrices could result in efficiency losses for Gaussian PMLEs in simultaneous equations models. We revisit his two-equation example using finite normal mixtures PMLEs instead, which are also consistent for mean and variance parameters regardless of the true distribution of the shocks. Because such mixtures provide good approximations to many distributions, we relate the asymptotic variance of our estimators to the relevant semiparametric efficiency bound. Our Monte Carlo results indicate that they systematically dominate MD and that the version that imposes the valid covariance restriction is more efficient than the unrestricted one.
- Subjects
SIMULTANEOUS equations; COVARIANCE matrices
- Publication
SERIEs, 2023, Vol 14, Issue 3/4, p253
- ISSN
1869-4187
- Publication type
Article
- DOI
10.1007/s13209-023-00280-4