MLE_Lecture 7 - Lecture 7 Two-Step Estimation Methods that are Asymptotically Equivalent to MLE(Linearized Maximum Likelihood Procedures See A.C Harvey

# MLE_Lecture 7 - Lecture 7 Two-Step Estimation Methods that...

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Lecture 7 Two-Step Estimation Methods that are Asymptotically Equivalent to MLE (Linearized Maximum Likelihood Procedures) See A.C. Harvey EATS, Chapter 4 Section 5 For proof that linearized ML estimators are asymptotically equivalent to MLE see A.C. Harvey EATS, pp 140-141. The iterative procedures of the previous discussion are of the form: ) ( 1 ) ( ) ( ~ ) 1 ( ~ i i i i g H + = θ θ with 1 ) ( i H being replaced by 1 ) ( ~ ) ( i I θ in the case of the method of scoring, and the outer product matrix 1 ' ) ˆ ˆ ( G G in the case of BHHH. Now the linearized ML estimator consists of “starting” the iteration at a
• Spring '16
• Econometrics, Estimation theory, A.C. Harvey EATS, outer product matrix

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