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Title:

Multimodality of the likelihood in the bivariate seemingly unrelated regressions model

Document type:
Zeitschriftenaufsatz
Author(s):
Drton, M.; Richardson, T.S.
Abstract:
We analyse the simplest two‐equation seemingly unrelated regressions model and demonstrate that its likelihood may have up to five stationary points, and thus there may be up to three local modes. Consequently the estimates obtained via iterative estimation methods may depend on starting values. We further show that the probability of multimodality vanishes asymptotically. Monte Carlo simulations suggest that multimodality rarely occurs if the seemingly unrelated regressions model is true, but c...     »
Dewey Decimal Classification:
510 Mathematik
Journal title:
Biometrika
Year:
2004
Journal volume:
91
Year / month:
2004-06
Quarter:
2. Quartal
Month:
Jun
Journal issue:
2
Pages contribution:
383-392
Language:
en
Fulltext / DOI:
doi:10.1093/biomet/91.2.383
Publisher:
Oxford University Press (OUP)
E-ISSN:
0006-34441464-3510
Date of publication:
01.06.2004
Format:
Text
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