Chapter

Likelihood

David F. Hendry

in Dynamic Econometrics

Published in print February 1995 | ISBN: 9780198283164
Published online November 2003 | e-ISBN: 9780191596384 | DOI: http://dx.doi.org/10.1093/0198283164.003.0010

Series: Advanced Texts in Econometrics

 Likelihood

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The likelihood function is the obverse of the data‐density function, and summaries thereof lead to maximum likelihood estimation. The first derivative of the log‐likelihood, the score, plays a central role in estimation and inference. Its properties are described, as are those of maximum likelihood estimation. Misleading inferences due to incorrect variance estimation, and possible solutions, are investigated. Derived distributions, asymptotic equivalencies of other methods to maximum likelihood, the concentrated (or profile) likelihood function, and marginal and conditional distributions are discussed, leading to the concept of an estimator generating equation.

Keywords: concentrated likelihood function; estimator generating equation; likelihood; maximum likelihood estimation; score

Chapter.  19021 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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