The Constrained Maximum Likelihood Estimation For Parameters Arising From Partially Identified Models
Hao Luo; Alexandre Bouchard-Côté; Gabriela Cohen Freue; Paul Gustafson · 2016 · arXiv
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Abstract (excerpt)
We extend the constrained maximum likelihood estimation theory for parameters of a completely identified model, proposed by Aitchison and Silvey (1958), to parameters arising from a partially identified model. With a partially identified model, some parameters of the model may only be identified through constraints imposed by additional assumptions. We show that, under certain conditions, the constrained maximum likelihood estimator exists and locally maximize the likelihood function subject to constraints. We then study the asymptotic distribution of the estimator and propose a numerical algo
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Metadata source: arXiv