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Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators

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  • BROZE, Laurence
  • GOURIEROUX, Christian

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  • BROZE, Laurence & GOURIEROUX, Christian, 1998. "Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators," LIDAM Reprints CORE 1319, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvrp:1319
    DOI: 10.1016/S0304-4076(97)00095-X
    Note: In : Journal of Econometrics, 85, 75-98, 1998
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    References listed on IDEAS

    as
    1. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May.
    2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    3. BROZE, Laurence & GOURIEROUX , Christian, 1993. "Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method," LIDAM Discussion Papers CORE 1993013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    4. Oliver Linton & Douglas Steigerwald, 2000. "Adaptive testing in arch models," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 145-174.
    5. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
    6. repec:cdl:ucsbec:3-95 is not listed on IDEAS
    7. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
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