Jun Dong <[EMAIL PROTECTED]> wrote:
>Could anyone give me some references that have RIGOROUS PROOF
>of the asymptotic properties of MLE for regression coefficient vector in
>
>a logistic regression?
>
>I need PROOF for like:
>
>\beta ~ asymptotic Normal
>bias ~= O(1/n)
>variance ~= (X'WX)^{-1}(1+O(1/n))
Gourieroux and Monfort, "Asymptotic Properties of the Maximum
Likelihood Estimator in Dichotomous Logit Models," Journal of Econometrics,
1981, p.83-97.
There is also a simpler proof of asymptotic normality in
Amemiya's "Advanced Econometrics", 1985, p.270-273.
Clint Cummins
.
.
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