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arXiv · 1301.6278

Revisiting the Neyman-Scott model: an Inconsistent MLE or an Ill-defined Model?

Aris Spanos
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Abstract

The Neyman and Scott (1948) model is widely used to demonstrate a serious weakness of the Maximum Likelihood (ML) method: it can give rise to inconsistent estimators. The primary objective of this paper is to revisit this example with a view to demonstrate that the culprit for the inconsistent estimation is not the ML method but an ill-defined statistical model. It is also shown that a simple recasting of this model renders it well-defined and the ML method gives rise to consistent and asymptotically efficient estimators.

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Aris Spanos. 2013-01-26. Revisiting the Neyman-Scott model: an Inconsistent MLE or an Ill-defined Model?. https://arxiv.org/abs/1301.6278

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