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dc.contributor.authorAndrews, Isaiah
dc.contributor.authorMikusheva, Anna
dc.date.accessioned2015-03-19T20:35:43Z
dc.date.available2015-03-19T20:35:43Z
dc.date.issued2014-05
dc.identifier.issn0002-8282
dc.identifier.urihttp://hdl.handle.net/1721.1/96095
dc.description.abstractIn this paper we connect the discrepancy between two estimates of Fisher information, one based on the quadratic variation of the score and the other based on the negative Hessian of the log-likelihood, to weak identification. Classical asymptotic approximations assume that these two estimates are asymptotically equivalent, but we show that this equivalence fails in many weakly identified models, which can distort the behavior of the MLE. Using a stylized DSGE model we show that the discrepancy between information estimates is large when identification is weak.en_US
dc.description.sponsorshipNational Science Foundation (U.S.) (NSF Graduate Research Fellowship, grant no. 1122374)en_US
dc.description.sponsorshipAlfred P. Sloan Foundation (Fellowship)en_US
dc.description.sponsorshipMassachusetts Institute of Technology (Castle-Krob Career Development Chair)en_US
dc.language.isoen_US
dc.publisherAmerican Economic Associationen_US
dc.relation.isversionofhttp://dx.doi.org/10.1257/aer.104.5.195en_US
dc.rightsArticle is made available in accordance with the publisher's policy and may be subject to US copyright law. Please refer to the publisher's site for terms of use.en_US
dc.sourceAmerican Economic Associationen_US
dc.titleWeak Identification in Maximum Likelihood: A Question of Informationen_US
dc.typeArticleen_US
dc.identifier.citationAndrews, Isaiah, and Anna Mikusheva. “ Weak Identification in Maximum Likelihood: A Question of Information † .” American Economic Review 104, no. 5 (May 2014): 195–199.en_US
dc.contributor.departmentMassachusetts Institute of Technology. Department of Economicsen_US
dc.contributor.mitauthorAndrews, Isaiahen_US
dc.contributor.mitauthorMikusheva, Annaen_US
dc.relation.journalAmerican Economic Reviewen_US
dc.eprint.versionFinal published versionen_US
dc.type.urihttp://purl.org/eprint/type/JournalArticleen_US
eprint.statushttp://purl.org/eprint/status/PeerRevieweden_US
dspace.orderedauthorsAndrews, Isaiah; Mikusheva, Annaen_US
dc.identifier.orcidhttps://orcid.org/0000-0002-0724-5428
mit.licensePUBLISHER_POLICYen_US


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