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A Reappraisal of Misspecified Econometric Models

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  • Monfort, Alain

Abstract

This paper is the text of the 1994 Tjalling Koopmans Lecture of the Cowles Foundation. The aim of this lecture was to survey the roles of misspecified models in econometrics. Through 10 stories we show how the misspecifipation problems can be dealt with and how misspecified models can play a positive role in inference processes.

Suggested Citation

  • Monfort, Alain, 1996. "A Reappraisal of Misspecified Econometric Models," Econometric Theory, Cambridge University Press, vol. 12(04), pages 597-619, October.
  • Handle: RePEc:cup:etheor:v:12:y:1996:i:04:p:597-619_00
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    Cited by:

    1. Peter C. B. Phillips & Jun Yu, 2009. "Simulation-Based Estimation of Contingent-Claims Prices," Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3669-3705, September.
    2. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," Review of Economic Studies, Oxford University Press, vol. 74(4), pages 1059-1087.
    3. Gouriéroux, Christian & Phillips, Peter C.B. & Yu, Jun, 2010. "Indirect inference for dynamic panel models," Journal of Econometrics, Elsevier, vol. 157(1), pages 68-77, July.
    4. Antonio Fidalgo & Alberto Holly & Marco Pecoraro & Philippe Wanner, 2016. "A nonparametric analysis of the healthy immigrant effect," IRENE Working Papers 16-15, IRENE Institute of Economic Research.
    5. repec:bla:sysdyn:v:32:y:2016:i:2:p:154-178 is not listed on IDEAS
    6. Dridi, Ramdan & Guay, Alain & Renault, Eric, 2007. "Indirect inference and calibration of dynamic stochastic general equilibrium models," Journal of Econometrics, Elsevier, vol. 136(2), pages 397-430, February.
    7. Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 1(1), pages 3-49, March.
    8. Peter C. B. Phillips & Jun Yu, 2006. "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Development Economics Working Papers 22471, East Asian Bureau of Economic Research.
    9. Bierlaire, M. & Bolduc, D. & McFadden, D., 2008. "The estimation of generalized extreme value models from choice-based samples," Transportation Research Part B: Methodological, Elsevier, vol. 42(4), pages 381-394, May.
    10. Aït-Sahalia, Yacine. & Bickel, Peter J. & Stoker, Thomas M., 1994. "Goodness-of-fit tests for regression using kernel methods," Working papers 3747-94., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    11. Jesús Fernández-Villaverde & Juan Francisco Rubio-Ramírez, 2004. "Estimating nonlinear dynamic equilibrium economies: a likelihood approach," FRB Atlanta Working Paper 2004-1, Federal Reserve Bank of Atlanta.

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