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Asymptotic normality of MLE

is the MLE always asymptotically Normal for the Exponential family? Or it is always normal for a particular subset of this family? ( I meant one parameter, multi-parameter, or any other smaller subset ...
Nikolay's user avatar
1 vote

Unit-Root Asymptotics

It would appear (but check), that your case is, or is close to, Hamilton's book, Case 3, pp. 495-497, although he does not use the differenced dependent variable (his specification is his eq. 17.4.14)....
Alecos Papadopoulos's user avatar
0 votes

Asymptotically Normally Distributed

This is answered, but here's another explanation which might shed some more light. What is an estimator $\hat{\theta}_n$? It's just a function you calculate from the sample, i.e. $\hat{\theta}_n = h(...
Abhishek Divekar's user avatar
5 votes

May I replace Fisher's exact test or Chi-squared test with logistic regression and vice versa?

Fisher’s “exact test” is not very accurate so I never use it. In maximum likelihood estimation such as what is used for logistic models, there are 3 test statistics: the preferred likelihood ratio $\...
Frank Harrell's user avatar
2 votes

May I replace Fisher's exact test or Chi-squared test with logistic regression and vice versa?

Appreciate the detailed gathering of comparative contingency table tests. Just FYI, the above results actually correspond to the following table counts: ...
William Dwyer's user avatar

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