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dc.contributor.author Tauchen, G
dc.date.accessioned 2010-03-09T15:29:34Z
dc.date.issued 1985-01-01
dc.identifier.citation Journal of Econometrics, 1985, 30 (1-2), pp. 415 - 443
dc.identifier.issn 0304-4076
dc.identifier.uri http://hdl.handle.net/10161/1912
dc.description.abstract The paper develops a unified theory of likelihood specification testing based on M-estimators of auxiliary parameters. The theory is sufficiently general to encompass a wide class of specification tests including moment-based tests, Pearson-type goodness of fit tests, the information matrix test, and the Cox test. The paper also presents a framework based on Frechet differentiation for determining the effects of misspecification on the almost sure limits of parameter estimates and specification test statistics. © 1985.
dc.format.extent 415 - 443
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.relation.ispartof Journal of Econometrics
dc.relation.isversionof 10.1016/0304-4076(85)90149-6
dc.title Diagnostic testing and evaluation of maximum likelihood models
dc.type Journal Article
dc.department Economics
pubs.issue 1-2
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Trinity College of Arts & Sciences
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Economics
pubs.publication-status Published
pubs.volume 30

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