Maximum Likelihood Estimation of Nonlinear Models with Linear Constraints on the Functional Form
In several econometric applications, one encounters the problem that the functional form of the model which has to be estimated, i.e. the equations without the (additive) disturbance terms, should satisfy one or more homogeneous linear constraints at each point in discrete time. Examples of models in which such a situation arises are complete systems of demand equations in consumer theory and models for brand choice, traffic flows in supermarkets or consumer credit usage. The estimation-consistent import allocation models which we presented in Chapter 2 also usually fall in this category. Because of the generality of the problems that arise for the estimation of models with such constraints, we will treat them in this chapter in a general fashion such that they maintain a wide applicability.
KeywordsCovariance Matrix Probability Density Function Maximum Likelihood Estimation Likelihood Function Maximum Likelihood Estimator
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