Approximate Distributions in Essentially Linear Models

Centre for Labour Market and Social Research Working Paper No. 98-008

24 Pages Posted: 16 Nov 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: September 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 p*-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 (September 1998). Centre for Labour Market and Social Research Working Paper No. 98-008. Available at SSRN: https://ssrn.com/abstract=176074 or http://dx.doi.org/10.2139/ssrn.176074

Mark Yuying An (Contact Author)

Federal National Mortgage Association (Fannie Mae) ( email )

3900 Wisconsin Avenue, NW
Mail Stop 1H3N-01
Washington, DC 20016-2892
United States
(202) 752-8442 (Phone)
(202) 752-5460 (Fax)

Duke University ( email )

Box 90097
207 Social Sciences
Durham, NC 27708-0097
United States
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(919) 684-8974 (Fax)

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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