Econometric analysis Seemingly Unrelated Regressions参考.ppt

* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * 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 using the central limit theorem here. Leads to asymptotic normality (Property 2). We will derive the asymptotic variance of the MLE. Efficiency (we have not developed the tools to prove this.) The Cramer-Rao lower bound for efficient estimation (an asymptotic version of Gauss-Markov). Estimating the variance of the maximum likelihood estimator. Invariance. (A VERY handy result.) Coupled with the Slutsky theorem and the delta method, the invariance property makes estimation of nonlinear functions of parameters very easy. Testing Hypotheses – A Trinity of Tests The likelihood ratio test: Based on the proposition (Greene’s) that restrictions always “make life worse” Is the reduction in the criterion (log-likelihood) large? Leads to the LR test. The Lagrange multiplier test: Underlying basis: Reexamine the first order conditions. Form a test of whether the gradient is significantly “nonzero” at the restricted estimator. The Wald test: The usual. The Linear (Normal) Model Definition of the likelihood function - joint density of the observed data, written as a function of the parameters we wish to estimate. Definition of the maximum likelihood estimator as that function of the observed data that maximizes the likelihood function, or its logarithm. For the model: yi = ??xi + ?i, where ?i ~ N[0,?2], the maximum likelihood estimators of ?