Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators

DOI10.1016/S0304-4076(97)00095-XzbMath0962.62015OpenAlexW2034439050MaRDI QIDQ1298426

Christian Gouriéroux, Laurence Broze

Publication date: 19 June 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00095-x

zbMATH Keywords

misspecificationmoment methodpseudo-maximum likelihood

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Point estimation (62F10)

Related Items

The indirect method: inference based on intermediate statistics -- a synthesis and examples, Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators

Uses Software

• nlmdl

Cites Work

• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Monte Carlo evidence on adaptive maximum likelihood estimation of a regression
• On adaptive estimation
• Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators
• Encompassing: formulation, properties and testing
• Encompassing and indirect inference
• Pseudo Maximum Likelihood Methods: Theory
• Adaptive testing in arch models
• Maximum Likelihood Estimation of Misspecified Models