Pseudo Maximum Likelihood Methods: Theory Export

@article{citeulike:1069954, abstract = {Estimators obtained by maximizing a likelihood function are studied in the case where the true p.d.f. does not necessarily belong to the family chosen for the likelihood function. When such a procedure is applied to the estimation of the parameters of the first order moments, it is possible to prove a necessary and sufficient condition for its consistency. Asymptotic normality is shown as well as the existence of a lower bound for the asymptotic covariance matrix. It is also seen that this bound can be reached if consistent estimates are available for the parameters of the second order moments. Finally, a necessary and sufficient condition for the consistency if the pseudo maximum likelihood estimation of the first and second moments is given.}, author = {Gourieroux, C. and Monfort, A. and Trognon, A.}, citeulike-article-id = {1069954}, citeulike-linkout-0 = {http://www.jstor.org/stable/1913471}, journal = {Econometrica}, keywords = {asymptotics, ecmx\_reading\_misspecified, econometric\_theory, misspecified\_models, sandwich\_estimator}, number = {3}, pages = {681--700}, posted-at = {2007-01-26 22:28:21}, priority = {2}, title = {Pseudo Maximum Likelihood Methods: Theory}, url = {http://www.jstor.org/stable/1913471}, volume = {52}, year = {1984} }

TY - JOUR ID - citeulike:1069954 L3 - citeulike-article-id:1069954 N2 - Estimators obtained by maximizing a likelihood function are studied in the case where the true p.d.f. does not necessarily belong to the family chosen for the likelihood function. When such a procedure is applied to the estimation of the parameters of the first order moments, it is possible to prove a necessary and sufficient condition for its consistency. Asymptotic normality is shown as well as the existence of a lower bound for the asymptotic covariance matrix. It is also seen that this bound can be reached if consistent estimates are available for the parameters of the second order moments. Finally, a necessary and sufficient condition for the consistency if the pseudo maximum likelihood estimation of the first and second moments is given. IS - 3 JF - Econometrica EP - 700 TI - Pseudo Maximum Likelihood Methods: Theory VL - 52 SP - 681 KW - asymptotics KW - ecmx_reading_misspecified KW - econometric_theory KW - misspecified_models KW - sandwich_estimator AU - Gourieroux, C AU - Monfort, A AU - Trognon, A PY - 1984/// UR - http://www.jstor.org/stable/1913471 ER -