On the Role of Jacobian Terms in Maximum Likelihood Estimation

摘要: Because of the presence Jacobian terms, determinants which arise as a result transformation variables, many common likelihood functions have singularities. This fact has several implications for maximum estimation. The most interesting these is that singularities often correspond with economically meaningful restrictions, and can be used to impose latter. Several applications this principle are presented. They suggest should preferred other estimation schemes not only because its optimal large-sample statistical properties, but also ability incorporate certain priori restrictions from economic theory.