Pseudo Maximum Likelihood Methods: Applications to Poisson Models Export

@article{citeulike:1069951, abstract = {Pseudo maximum likelihood techniques are applied to basic Poisson models and to Poisson models with specification errors. In the latter case it is shown that consistent and asymptotically normal estimators can be obtained without specifying the p.d.f. of the disturbances. These estimators are compared both from the finite sample and the asymptotic point of view. Quasi generalized PML estimators, which asymptotically dominate all PML estimators, are also proposed. Finally, bivariate and panel data Poisson models are discussed.}, author = {Gourieroux, C. and Monfort, A. and Trognon, A.}, citeulike-article-id = {1069951}, citeulike-linkout-0 = {http://www.jstor.org/stable/1913472}, journal = {Econometrica}, keywords = {asymptotics, ecmx\_reading\_misspecified, econometric\_theory, misspecified\_models, sandwich\_estimator}, number = {3}, pages = {701--720}, posted-at = {2007-01-26 22:27:18}, priority = {2}, title = {Pseudo Maximum Likelihood Methods: Applications to Poisson Models}, url = {http://www.jstor.org/stable/1913472}, volume = {52}, year = {1984} }

TY - JOUR ID - citeulike:1069951 L3 - citeulike-article-id:1069951 N2 - Pseudo maximum likelihood techniques are applied to basic Poisson models and to Poisson models with specification errors. In the latter case it is shown that consistent and asymptotically normal estimators can be obtained without specifying the p.d.f. of the disturbances. These estimators are compared both from the finite sample and the asymptotic point of view. Quasi generalized PML estimators, which asymptotically dominate all PML estimators, are also proposed. Finally, bivariate and panel data Poisson models are discussed. IS - 3 JF - Econometrica EP - 720 TI - Pseudo Maximum Likelihood Methods: Applications to Poisson Models VL - 52 SP - 701 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/1913472 ER -