Diagnostic testing and evaluation of maximum likelihood models
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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.
Published Version (Please cite this version)10.1016/0304-4076(85)90149-6
Publication InfoTauchen, George E (1985). Diagnostic testing and evaluation of maximum likelihood models. Journal of Econometrics, 30(1-2). pp. 415-443. 10.1016/0304-4076(85)90149-6. Retrieved from https://hdl.handle.net/10161/1912.
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William Henry Glasson Distinguished Professor of Economics
George Tauchen is the William Henry Glasson Professor of Economics and professor of finance at the Fuqua School of Business. He joined the Duke faculty in 1977 after receiving his Ph.D. from the University of Minnesota. He did his undergraduate work at the University of Wisconsin. Professor Tauchen is a fellow of the Econometric Society, the American Statistical Association, the Journal of Econometrics, and the Society for Financial Econometrics (SoFie). He is also the 2003 Duke University Sc