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The asymptotic variance of the pseudo maximum likelihood estimator

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  • Jan R. Magnus

    (Department of Econometrics & OR, Tilburg University)

Abstract

We present an analytical closed-form expression for the asymptotic variance matrix in the misspecified multivariate regression model.

Suggested Citation

  • Jan R. Magnus, 2007. "The asymptotic variance of the pseudo maximum likelihood estimator," CIRJE F-Series CIRJE-F-479, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:fseres:2007cf479
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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2007/2007cf479.pdf
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    References listed on IDEAS

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    1. White,Halbert, 1996. "Estimation, Inference and Specification Analysis," Cambridge Books, Cambridge University Press, number 9780521574464.
    2. Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, vol. 57(2), pages 307-333, March.
    3. Bozdogan, Hamparsum & Haughton, Dominique M. A., 1998. "Informational complexity criteria for regression models," Computational Statistics & Data Analysis, Elsevier, vol. 28(1), pages 51-76, July.
    4. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
    5. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May.
    6. Magnus, J.R. & Neudecker, H., 1980. "The elimination matrix : Some lemmas and applications," Other publications TiSEM 0e3315d3-846c-4bc5-928e-f, Tilburg University, School of Economics and Management.
    7. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
    8. Gallant, A Ronald & Holly, Alberto, 1980. "Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Model in the Context of Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 48(3), pages 697-720, April.
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    Cited by:

    1. Johan Lyhagen, 2012. "A note on the representation of $${E\left({\textit{\textbf {x}}}\otimes {\textit{\textbf {xx}}}^{\prime}\right) }$$ and $${E\left({\textit{\textbf {xx}}}^{\prime }\otimes {\textit{\textbf {xx}}}^{\pri," Statistical Papers, Springer, vol. 53(3), pages 697-701, August.

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