Approximate Distributions in Essentially Linear Models

Duke Economics Working Paper No. 98-10

24 Pages Posted: 12 Mar 1999

See all articles by Mark Yuying An

Mark Yuying An

Federal National Mortgage Association (Fannie Mae); Duke University

Bent Jesper Christensen

Aarhus University; Aarhus University; Aarhus University

Nicholas M. Kiefer

Cornell University

Multiple version iconThere are 2 versions of this paper

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

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

Mark Yuying An (Contact Author)

Federal National Mortgage Association (Fannie Mae) ( email )

3900 Wisconsin Avenue, NW
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(202) 752-8442 (Phone)
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Duke University ( email )

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Bent Jesper Christensen

Aarhus University ( email )

Fuglesangs Alle 4
DK-8210 Aarhus V, 8210
Denmark

Aarhus University ( email )

Fuglesangs Alle 4
DK-8210 Aarhus V, 8210
Denmark

Aarhus University ( email )

Fuglesangs Alle 4
DK-8210 Aarhus V, 8210
Denmark

Nicholas M. Kiefer

Cornell University ( email )

Building 350
Ithaca, NY 14853
United States
607-255-6315 (Phone)
607-539-6366 (Fax)

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