The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Maximum Likelihood Estimation of Misspecified Models
Abstract
This paper examines the consequences and detection of model misspecification when using maximum likelihood techniques for estimation and inference. The quasi-maximum likelihood estimator (QMLE) converges to a well defined limit, and may or may not be consistent for particular parameters of interest. Standard tests (Wald, Lagrange Multiplier, or Likelihood Ratio) are invalid in the presence of misspecification, but more general statistics are given which allow inferences to be drawn robustly. The properties of the QMLE and the information matrix are exploited to yield several useful tests for model misspecification.
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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
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Hospital Nurse Staffing and Patient Mortality, Nurse Burnout, and Job Dissatisfaction
Aiken, L. H. (2002) · JAMA · doi:10.1001/jama.288.16.1987 · Cited by 5,226
Testing the number of components in a normal mixture
Lo, Y. (2001) · Biometrika · doi:10.1093/biomet/88.3.767 · Cited by 4,640
Bozdogan, H. (1987) · Psychometrika · doi:10.1007/bf02294361 · Cited by 4,468
Metadata
- Authors
- White, H.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1983-03
- Volume
- 51
- Issue
- 2
- Pages
- 513
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2017137572
- Cited by
- 3,674
- References
- 1
- FWCI
- 40.89
- Type
- journal article
- Language
- en
- Open access
- closed
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