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On the Maximum Likelihood estimation of a linear structural relationship when the intercept is known
Authors:Lai K Chan  Tak K Mak
Institution:The University of Western Ontario Canada
Abstract:This paper considers the Maximum Likelihood (ML) estimation of the five parameters of a linear structural relationship y = α + βx when α is known. The parameters are β, the two variances of observation errors on x and y, the mean and variance of x. When the ML estimates of the parameters cannot be obtained by solving a simple simultaneous system of five equations, they are found by maximizing the likelihood function directly. Some asymptotic properties of the estimates are also obtained.
Keywords:62F10  62F25  62H05  linear structural relationship  known intercept  maximum likelihood estimation
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