The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Diagnostic testing and evaluation of maximum likelihood models
Open accessAbstract
Abstract The paper develops a unified theory of likelihood specification testing based on M-estimators of auxiliary parameters. The theory is sufficiently general to encompass a wide class of specification tests including moment-based tests, Pearson-type goodness of fit tests, the information matrix test, and the Cox test. The paper also presents a framework based on Frechet differentiation for determining the effects of misspecification on the almost sure limits of parameter estimates and specification test statistics.
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Citations
Cites
Specification Tests in Econometrics
Hausman, J. A. (1978) · Econometrica · doi:10.2307/1913827 · Cited by 18,820
Cited by
(2001) · RePEc: Research Papers in Economics · Cited by 27,577
Multivariate GARCH models: a survey
Bauwens, L., Laurent, S., & Rombouts, J. V. K. (2006) · Journal of Applied Econometrics · doi:10.1002/jae.842 · Cited by 2,045
Chapter 36 Large sample estimation and hypothesis testing
Newey, W. K., & McFadden, D. (1994) · Handbook of Econometrics · doi:10.1016/s1573-4412(05)80005-4 · Cited by 1,743
Gallant, A. R., Rossi, P. E., & Tauchen, G. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.2.199 · Cited by 1,295
Self-citationRegression-based tests for overdispersion in the Poisson model
Cameron, A. C., & Trivedi, P. K. (1990) · Journal of Econometrics · doi:10.1016/0304-4076(90)90014-k · Cited by 1,192
Metadata
- Authors
- Tauchen, G.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 1985-10
- Volume
- 30
- Issue
- 1-2
- Pages
- 415-443
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W2051968669
- Cited by
- 374
- References
- 1
- FWCI
- 4.49
- Type
- journal article
- Language
- en
- Open access
- green
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- Tauchen, G. (1985). Diagnostic testing and evaluation of maximum likelihood models. Journal of Econometrics. https://doi.org/10.1016/0304-4076(85)90149-6
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
