Second Order Pseudo-Maximum Likelihood Estimation and Conditional VarianceMisspecification.

In this paper, we study the behaviour of second order pseudo-maximum likelihood estimators under conditional variance misspecification. We first determine sufficient and essentially necessary conditions for such an estimator to be, regardless of the conditional variance (mis)specification, consistent for the mean parameters when the conditional mean is correctly specified.

MoreLess

Year of publication:	1997
Authors:	Lejeune, B.
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Subject:	ECONOMETRICS

More details

Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	39 pages
Classification:	C13 - Estimation ; C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005779537