Diagnostic testing and evaluation of maximum likelihood models

DOI10.1016/0304-4076(85)90149-6zbMath0591.62094OpenAlexW2051968669MaRDI QIDQ115750

George Tauchen, George Tauchen

Publication date: October 1985

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(85)90149-6

zbMATH Keywords

M-estimatorsdifferentiationspecification testsparameter estimatesinformation matrix testdiagnostic testingFrechetunifiedalmost sure limits ofCox testeffects of misspecificationmoment-based testsnon-linear maximum likelihood modelPearson-type goodness of fit teststheory of maximum likelihood

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15)

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