COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 573

"On the Consistency of Non-Linear FIML"

Peter C.B. Phillips

December 1980

Examples are given which show that: (i) normality is not necessary for the consistency of the quasi maximum likelihood estimator in the nonlinear simultaneous equations model (nonlinear FIML) even when there are major departures from linearity; and (ii) the lemma which is used extensively by Amemiya [2] in the theoretical development of the properties of nonlinear FIML under the assumption of normality is, as presently stated, incorrect.

See CFP 549