Misspecified models with dependent observations

DOI10.1016/0304-4076(82)90102-6zbMath0512.62114OpenAlexW2029367447MaRDI QIDQ1050063

Halbert White, Ian Domowitz

Publication date: 1982

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

Full work available at URL: https://doi.org/10.1016/0304-4076(82)90102-6

zbMATH Keywords

consistencyasymptotic normalitycovariance estimatorleast-squares estimatormisspecified modelsdependent observationsnonlinear regression modelweighted least-squares approximationcentral limit resultsidentifiable unique minimizerinformation matrix testing principlenew model specification testsspecification-robust estimator of asymptotic covariance matrix

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Point estimation (62F10) General nonlinear regression (62J02)

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