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Duke Economics Working Paper #98-10

Approximate Distributions in Essentially Linear Models


Mark Y. An,
Bent Jesper Christensen,
and Nicholas M. Kiefer

Abstract

A new class of regression type models termed essentially linear models is proposed. The class is characterized by geometric considerations. Within the class the distribution of the maximum likelihood estimator is easily approximated by a natural extension of the pstar-formula even though the MLE itself is not typically achievable in closed form. The method has many econometric applications and works well in practice.

Key words: Likelihood, Sufficiency, Statistical geometry, Zipf-Estoup regression, pstar-formula

JEL: C10, C20, C51

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24 pages

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