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Exact properties of the maximum likelihood estimator in exponential regression models: a differential geometry approach

Hillier, G.H. and O'Brien, R.J. (1999) Exact properties of the maximum likelihood estimator in exponential regression models: a differential geometry approach , Southampton, UK University of Southampton 33pp. (Discussion Papers in Economics and Econometrics, 9901).

Record type: Monograph (Discussion Paper)

Abstract

Using recently developed methods for obtaining exact distribution results for implicitly defined estimators, we study the exact properties of the maximum likelihood estimator in exponential regression models. The main technical problem is the evaluation of a surface integral over an n-k)-dimensional hyperplane embedded in the n-dimensional sample space. Details of the calculation are given for the cases k = 1 and k = 2 and some general properties of the densities for arbitrary k are indicated.

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More information

Published date: 1999
Additional Information: Also a book chapter: Applications of differential geometry to econometrics book contents Pages: 85 - 118 Year of Publication: 2000 ISBN:0-201-70039-5

Identifiers

Local EPrints ID: 33136
URI: http://eprints.soton.ac.uk/id/eprint/33136
PURE UUID: 12af523c-dd8c-4634-9e40-c4297a9c08ca

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Date deposited: 28 Jun 2007
Last modified: 17 Jul 2017 15:53

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