Maximum likelihood estimates for the Hildreth–Houck random coefficients model

DOI10.1111/1368-423X.t01-1-00083zbMath1018.62020OpenAlexW3121743443MaRDI QIDQ4551782

Asad Zaman

Publication date: 14 September 2003

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1368-423x.t01-1-00083

zbMATH Keywords

asymptotic efficiencyrandom coefficientsboundary constraintssuperconsistencyML estimationHildreth-HouckSelf-Liang

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Uses Software

• CML

Cites Work

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• A note on a heteroscedastic model
• Dynamic Econometrics
• Estimation When a Parameter is on a Boundary
• The Unbiasedness of Zellner's Seemingly Unrelated Regression Equations Estimators

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