- On likelihood ratios for partially identified models
- Book/source title
- Proceedings of the Osaka Econometrics conference
- Pages (from-to)
- Osaka University
- Document type
- Conference contribution
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
This paper studies asymptotic properties of likelihood-based estimators and test statistics for models which are partially identified. We concentrate on local or global identification problems which are linked to ("structural") reparameterisations, where the original ("reduced form") parameters are identified. The problem is approached via local asymptotic analysis of likelihood ratio functions. Applications include simultaneous equation models under limited information, testing for cointegration in VAR models, and testing structural hypotheses on cointegrating vectors.
If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library, or send a letter to: Library of the University of Amsterdam, Secretariat, Singel 425, 1012 WP Amsterdam, The Netherlands. You will be contacted as soon as possible.