TY - JOUR
T1 - Quasi-maximum likelihood estimation revisited using the distance and direction method
AU - Cho, Jin Seo
N1 - Copyright:
Copyright 2012 Elsevier B.V., All rights reserved.
PY - 2012/6
Y1 - 2012/6
N2 - 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.
AB - 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.
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M3 - Article
AN - SCOPUS:84863454582
VL - 23
SP - 89
EP - 112
JO - Journal of Economic Theory and Econometrics
JF - Journal of Economic Theory and Econometrics
SN - 1229-2893
IS - 2
ER -