Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model

2020 ◽  
Vol 99 ◽  
pp. 149-168
Author(s):  
S. S. Lohvinenko ◽  
K. V. Ralchenko
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimator ◽  
Asymptotic Distribution ◽  
Likelihood Estimator ◽  
Vasicek Model ◽  
Distribution Of The Maximum

scholarly journals Asymptotic Distribution of the Maximum Likelihood Estimator for a Stochastic Frontier Function Model with a Singular Information Matrix

1993 ◽  
Vol 9 (3) ◽  
pp. 413-430 ◽  
Author(s):  
Lung-Fei Lee
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimator ◽  
Asymptotic Distribution ◽  
Information Matrix ◽  
Stochastic Frontier ◽  
Maximum Likelihood Estimates ◽  
Ratio Test ◽  
Likelihood Estimator ◽  
True Parameter ◽  
Distribution Of The Maximum

This paper investigates the asymptotic distribution of the maximum likelihood estimator in a stochastic frontier function when the firms are all technically efficient. For such a situation the true parameter vector is on the boundary of the parameter space, and the scores are linearly dependent. The asymptotic distribution of the maximum likelihood estimator is shown to be a mixture of certain truncated distributions. The maximum likelihood estimates for different parameters may have different rates of stochastic convergence. The model can be reparameterized into one with a regular likelihood function. The likelihood ratio test statistic has the usual mixture of chi-square distributions as in the regular case.

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