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The Asymptotic Variance Of The Pseudo Maximum Likelihood Estimator


  • Magnus, Jan R.


We present an analytical closed-form expression for the asymptotic variance matrix in the misspecified multivariate regression model.I am grateful to Hamparsum Bozdogan of the University of Tennessee for bringing the idea of the sandwich variance matrix within the context of the misspecified multivariate regression model to my attention and to two referees for their constructive and useful comments.

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  • Magnus, Jan R., 2007. "The Asymptotic Variance Of The Pseudo Maximum Likelihood Estimator," Econometric Theory, Cambridge University Press, vol. 23(5), pages 1022-1032, October.
  • Handle: RePEc:cup:etheor:v:23:y:2007:i:05:p:1022-1032_07

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    References listed on IDEAS

    1. White,Halbert, 1996. "Estimation, Inference and Specification Analysis," Cambridge Books, Cambridge University Press, number 9780521574464, August.
    2. Bozdogan, Hamparsum & Haughton, Dominique M. A., 1998. "Informational complexity criteria for regression models," Computational Statistics & Data Analysis, Elsevier, vol. 28(1), pages 51-76, July.
    3. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
    4. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May.
    5. Magnus, J.R. & Neudecker, H., 1980. "The elimination matrix : Some lemmas and applications," Other publications TiSEM 0e3315d3-846c-4bc5-928e-f, Tilburg University, School of Economics and Management.
    6. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
    7. Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, vol. 57(2), pages 307-333, March.
    8. Gallant, A Ronald & Holly, Alberto, 1980. "Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Model in the Context of Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 48(3), pages 697-720, April.
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    Cited by:

    1. Johan Lyhagen, 2012. "A note on the representation of $${E\left({\textit{\textbf {x}}}\otimes {\textit{\textbf {xx}}}^{\prime}\right) }$$ and $${E\left({\textit{\textbf {xx}}}^{\prime }\otimes {\textit{\textbf {xx}}}^{\pri," Statistical Papers, Springer, vol. 53(3), pages 697-701, August.

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