Quasi-Maximum Likelihood Estimation Revisited Using the Distance and Direction Method
- 한국계량경제학회
- JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS
- Vol.23 No.2
-
2012.0689 - 112 (24 pages)
- 42
We examine an asymptotic analysis of differentiable econometric models using the distance and direction (DD) method introduced by Cho and White (2012), in which the conventional analysis for the quasi-maximum likelihood estimation and inference can be treated as a special case. We extend their approach and revisit the conventional quasi-likelihood ratio,Wald, and Lagrange multiplier test statistics through a different perspective. This new perspective is further analyzed in a unified framework, and we exploit this to introduce new classes of test statistics.
Abstract
1. INTRODUCTION
2. THE STANDARD ANALYSIS OF THE QML STATISTICS
3. THE QML ESTIMATOR AND THE DD METHOD
4. THE QML TESTS AND THE DD METHOD
5. NEW TESTS AND REINVESTIGATION OF THE TESTS
6. CONCLUSION
APPENDIX
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