EconometricanalysisSeeminglyUnrelatedRegressions幻灯片.pptVIP

* * * * * * * * * * * * * * * * * * * * * * * Properties of the Maximum Likelihood Estimator We will sketch formal proofs of these results: The log-likelihood function, again The likelihood equation and the information matrix. A linear Taylor series approximation to the first order conditions: g(?ML) = 0 ? g(?) + H(?) (?ML - ?) (under regularity, higher order terms will vanish in large samples.) Our usual approach. Large sample behavior of the left and right hand sides is the same. A Proof of consistency. (Property 1) The limiting variance of ?n(?ML - ?). We are