Quasi-maximum likelihood estimation revisited using the distance and direction method

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We examine an asymptotic analysis of differentiable econometric models using the distance and direction (DD) method introduced by Cho and White (2012), in which the conventional analysis for the quasi-maximum likelihood estimation and inference can be treated as a special case. We extend their approach and revisit the conventional quasi-likelihood ratio, Wald, and Lagrange multiplier test statistics through a different perspective. This new perspective is further analyzed in a unified framework, and we exploit this to introduce new classes of test statistics.

Original languageEnglish
Pages (from-to)89-112
Number of pages24
JournalJournal of Economic Theory and Econometrics
Issue number2
Publication statusPublished - 2012 Jun 1


All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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