Arbeitspapier
On the Role of Jacobian Terms in Maximum Likelihood Estimation
Because of the presence of Jacobian terms, determinants which arise as a result of a transformation of variables, many common likelihood functions have singularities. This fact has several implications for maximum likelihood estimation. The most interesting of these is that singularities often correspond with economically meaningful restrictions, and can be used to impose the latter. Several applications of this principle are presented. They suggest that maximum likelihood should be preferred to other estimation schemes not only because of its optimal large-sample statistical properties, but also because of its ability to incorporate certain a priori restrictions from economic theory.
- Language
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Englisch
- Bibliographic citation
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Series: Queen's Economics Department Working Paper ; No. 304
- Classification
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Wirtschaft
- Subject
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Jacobian
maximum likelihood
loglikelihood
multiple maxima
singularity
- Event
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Geistige Schöpfung
- (who)
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MacKinnon, James G.
- Event
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Veröffentlichung
- (who)
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Queen's University, Department of Economics
- (where)
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Kingston (Ontario)
- (when)
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1978
- Handle
- Last update
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10.03.2025, 11:46 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- MacKinnon, James G.
- Queen's University, Department of Economics
Time of origin
- 1978
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