THE ASYMPTOTIC VARIANCE OF THE PSEUDO MAXIMUM LIKELIHOOD ESTIMATOR

DOI10.1017/S0266466607070417zbMath1237.62071OpenAlexW2065771913MaRDI QIDQ2886974

Jan R. Magnus

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466607070417

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items (3)

Pseudo maximum likelihood estimation and asymptotic results of the GARCH (1, 2) Model under dependent innovations ⋮ A note on the representation of \({E\left({{\mathbf {x}}}\otimes {{\mathbf {xx}}}^{\prime}\right) }\) and \({E\left({{\mathbf {xx}}}^{\prime }\otimes {{\mathbf {xx}}}^{\prime }\right)}\) for the random vector \(\mathbf{x}\) ⋮ Pseudo maximum likelihood estimation of the univariate GARCH (2,2) and asymptotic normality under dependent innovations

Cites Work

• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Informational complexity criteria for regression models.
• Pseudo Maximum Likelihood Methods: Theory
• Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Mode in the Context of Maximum Likelihood Estimation
• The Consistency of Nonlinear Regressions
• Maximum Likelihood Estimation of Misspecified Models

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