Approximate Distributions in Essentially Linear Models
Centre for Labour Market and Social Research Working Paper No. 98-008
24 Pages Posted: 16 Nov 1999
Date Written: September 1998
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: Suggested Citation