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The asymptotic variance of the pseudo maximum likelihood estimator

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Author Info
Jan R. Magnus (Department of Econometrics & OR, Tilburg University)

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Abstract

We present an analytical closed-form expression for the asymptotic variance matrix in the misspecified multivariate regression model.

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File URL: http://www.e.u-tokyo.ac.jp/cirje/research/dp/2007/2007cf479.pdf
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Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-479.

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Length: 13 pages
Date of creation: Mar 2007
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Handle: RePEc:tky:fseres:2007cf479

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  1. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May. [Downloadable!] (restricted)
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  2. Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, vol. 57(2), pages 307-33, March. [Downloadable!] (restricted)
  3. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January. [Downloadable!] (restricted)
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