Bugni, Federico A.; Ura, Takuya - In: Quantitative economics : QE ; journal of the … 10 (2019) 1, pp. 67-103
inference in these models. Specifically, we consider a local misspecification framework in which specification errors are … estimator.We show that local misspecification can affect the asymptotic distribution and even the rate of convergence of these … estimators. In principle, one might expect that the effect of the local misspecification could change with the number of …
