Calzolari, Giorgio and Panattoni, Lorenzo (1984): A Simulation Study on FIML Covariance Matrix. Published in: paper presented at the European Meeting of the Econometric Society. Universidad Autonoma de Madrid, September 37. (3 September 1984): pp. 144.

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Abstract
In econometric models, estimates of the asymptotic covariance matrix of FIML coefficients are traditionally computed in several different ways: with a generalized least squares type matrix; using the Hessian of the concentrated loglikelihood; using the outer product of the first derivatives of the loglikelihoods; with some suitable joint use of Hessian and outer product. The different alternative estimators are asymptotically equivalent in case of correct model's specification, but may produce large differences in the numerical application to small samples. The behaviour of the different estimators of the covariance matrix in standardizing or normalizing FIML estimated coefficients in the small samples is investigated in this paper. Monte Carlo experiments are performed on several smallmedium size models, and some systematic behaviours are evidenced.
Item Type:  MPRA Paper 

Original Title:  A Simulation Study on FIML Covariance Matrix 
Language:  English 
Keywords:  Econometric models; simultaneous equations; FIML; maximum likelihood; covariance matrix; Hessian; outer product 
Subjects:  C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63  Computational Techniques ; Simulation Modeling C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables 
Item ID:  28804 
Depositing User:  Giorgio Calzolari 
Date Deposited:  11 Feb 2011 18:18 
Last Modified:  25 Mar 2017 11:19 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/28804 