Hansen, Peter Reinhard - 2018
being a prime example. A natural estimator is the innate estimator that maximizes Q(X;\theta.) wrt. \theta. While the innate … estimator has certain advantages, we show that the asymptotically efficient estimator is defined from a likelihood function in … conjunction with Q. The likelihood-based estimator is, however, fragile, as misspecification is harmful in two ways. First, the …