Maximum Likelihood Estimation of Misspecified Models

From MaRDI portal
Revision as of 22:26, 5 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:5905022

DOI10.2307/1912526zbMath0478.62088OpenAlexW4246784033WikidataQ56608507 ScholiaQ56608507MaRDI QIDQ5905022

Halbert White

Publication date: 1982

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912526




Related Items (only showing first 100 items - show all)

Asymptotic expansions for the estimators of Lagrange multipliers and associated parameters by the maximum likelihood and weighted score methodsMinimum distance partial linear regression model checking with Berkson measurement errorsThe power of bootstrap and asymptotic testsA fast subsampling method for nonlinear dynamic modelsA consistent bootstrap test for conditional density functions with time-series dataOn efficient estimation of the ordered response modelEstimation of mis-specified long memory modelsIndirect inference and calibration of dynamic stochastic general equilibrium modelsAsymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticityNonparametric likelihood ratio model selection tests between parametric likelihood and moment condition modelsLocal multiplicative bias correction for asymmetric kernel density estimatorsClosed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuanMaximum likelihood inference for the multivariate \(t\) mixture modelExamining bias in estimators of linear rational expectations models under misspecificationExogeneity in structural equation modelsExplaining individual response using aggregated dataIndirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocksRobust likelihood inference for multivariate correlated count dataMultivariate fractional regression estimation of econometric share modelsAn autoregressive growth model for longitudinal item analysisWhat can we learn from plausible values?Power and sample size computation for Wald tests in latent class modelsA loss function approach to model specification testing and its relative efficiencyA class of cross-validatory model selection criteriaA general family of limited information goodness-of-fit statistics for multinomial dataOmitted variables in a Weibull regression modelA specification test of stochastic diffusion modelsLikelihood reweighting methods to reduce potential bias in noninferiority trials which rely on historical data to make inferenceStrong consistency of \(k\)-parameters clusteringBayesian inference with misspecified modelsBayesian sandwich posteriors for pseudo-true parametersComments on: Goodness-of-fit tests in mixed modelsEmpirical likelihood based goodness-of-fit testing for generalized linear mixed modelsAssessing large sample bias in misspecified model scenarios with reference to exposure model misspecification in errors-in-variable regression: a new computational approachSelection of error probability laws by generalized modified profile likelihoodDivergence statistics for testing uniform association in cross-classificationsEmpirical smoothing lack-of-fit tests for variance functionRegime switching state-space models applied to psychological processes: handling missing data and making inferencesProportional hazards model for competing risks data with missing cause of failureDeletion diagnostics for generalized linear models using the adjusted Poisson likelihood functionMinimum distance conditional variance function checking in heteroscedastic regression modelsOn the detectability of different forms of interaction in regression modelsEmpirical likelihood for multidimensional linear model with missing responsesInference about clustering and parametric assumptions in covariance matrix estimationThe impact of order flow on the foreign exchange market: a copula approachRejoinder to: ``Feature matching in time series modeling.Generalized linear mixed models: a review and some extensionsOn semiparametric regression for count explanatory variablesEmpirical \(L_2\)-distance lack-of-fit tests for Tobit regression modelsDivergences and duality for estimation and test under moment condition modelsKullback-Leibler aggregation and misspecified generalized linear modelsPerturbation and scaled Cook's distanceMarginal methods for clustered longitudinal binary data with incomplete covariatesTracking interval for selecting between non-nested models: an investigation for type II right censored dataBootstrap methods for single structural change tests: power versus corrected size and empirical illustrationDetecting random-effects model misspecification via coarsened dataRobust designs for probability estimation in binary response experimentsRestricted normal mixture QMLE for non-stationary TGARCH(1,1) modelsRobust designs for multivariate logistic regressionA simple spatial dependence test robust to local and distributional misspecificationsIntegrated cumulative error (ICE) distance for non-nested mixture model selection: application to extreme values in metal fatigue problemsEstimating parametric models of probability distributionsGeometric quasi-maximum likelihood estimation for a general class of integer-valued time series modelsR-estimation in semiparametric dynamic location-scale modelsModel misspecification effects for biased samplesExpert information and nonparametric Bayesian inference of rare eventsAsymptotic robustness study of the polychoric correlation estimationA two-step estimator for large approximate dynamic factor models based on Kalman filteringLinear latent variable models: the lava-packageDynamic misspecification in nonparametric cointegrating regressionOptimal comparison of misspecified moment restriction models under a chosen measure of fitHigher order properties of the wild bootstrap under misspecificationMoment condition tests for heavy tailed time seriesExponential series estimator of multivariate densitiesTesting single-index restrictions with a focus on average derivativesDistribution-free test in Tobit mean regression modelPseudo conditional maximum likelihood estimation of the dynamic logit model for binary panel dataOn the robustness of maximum composite likelihood estimateModel misspecification in peaks over threshold analysisAn efficient semiparametric maxima estimator of the extremal indexEstimating Rao's statistic distribution for testing uniform association in cross-classificationsAsymptotics in Bayesian decision theory with applications to global robustnessProfiling heteroscedasticity in linear regression modelsNonparametric bootstrap analysis with applications to demographic effects in demand functionsA consistent test of functional form via nonparametric estimation techniquesModel-assisted inference for treatment effects using regularized calibrated estimation with high-dimensional dataMarginalized Transition Models and Likelihood Inference for Longitudinal Categorical DataSure independence screening in generalized linear models with NP-dimensionalityBayesian beta regression for bounded responses with unknown supportsConsistent estimation of limited dependent variable models despite misspecification of distributionRegression models for positive random variablesDetecting multiple outliers with an application to R \& D productivityDiagnostic testing and evaluation of maximum likelihood modelsFast Bayesian inference using Laplace approximations in nonparametric double additive location-scale models with right- and interval-censored dataGoodness-of-fit test for specification of semiparametric copula dependence modelsGeneralized linear models with unspecified reference distributionOracle, multiple robust and multipurpose calibration in a missing response problemFractionally integrated time varying GARCH modelA test for bivariate normality with applications in microeconometric modelsTesting normality: a GMM approach







This page was built for publication: Maximum Likelihood Estimation of Misspecified Models