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Consistent pseudo-maximum likelihood estimators
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Gouriéroux, Christian, Monfort, Alain and Renault, Eric (2017) Consistent pseudo-maximum likelihood estimators. Annals of Economics and Statistics (125/126). pp. 187-218. doi:10.15609/annaeconstat2009.125-126.0187 ISSN 2115-4430.
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Official URL: http://dx.doi.org/10.15609/annaeconstat2009.125-12...
Abstract
The development of the literature on the pseudo maximum likelihood (PML) estimators would not have been so efficient without the modern proof of consistency of extremum estimators introduced at the end of the sixties by E. Malinvaud and R. Jennrich. We discuss this proof and replace it in an historical perspective. In this paper we also provide a survey of the literature on consistent (PML) estimators. We emphasize the role of the white noise assumptions on the set of pseudo distributions leading to consistent estimators. The stronger these assumptions, the larger the set of consistent PML estimators. We also illustrate the importance of these PML approaches in big data environment.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Social Sciences > Economics | ||||
Journal or Publication Title: | Annals of Economics and Statistics | ||||
Publisher: | JSTOR | ||||
ISSN: | 2115-4430 | ||||
Official Date: | June 2017 | ||||
Dates: |
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Number: | 125/126 | ||||
Page Range: | pp. 187-218 | ||||
DOI: | 10.15609/annaeconstat2009.125-126.0187 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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