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THE ASYMPTOTIC VARIANCE OF THE PSEUDO MAXIMUM LIKELIHOOD ESTIMATOR

Published online by Cambridge University Press:  14 May 2007

Jan R. Magnus
Jan R. Magnus
Affiliation:
Tilburg University and University of Tokyo
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Abstract

We present an analytical closed-form expression for the asymptotic variance matrix in the misspecified multivariate regression model.I am grateful to Hamparsum Bozdogan of the University of Tennessee for bringing the idea of the sandwich variance matrix within the context of the misspecified multivariate regression model to my attention and to two referees for their constructive and useful comments.

Type
NOTES AND PROBLEMS
Information
Econometric Theory , Volume 23 , Issue 5 , October 2007 , pp. 1022 - 1032
Copyright
© 2007 Cambridge University Press

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References

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