Book contents
- Frontmatter
- 1 Introductory Remarks
- 2 Probability Densities, Likelihood Functions and Quasi-Maximum Likelihood Estimators
- 3 Consistency of the QMLE
- 4 Correctly Specified Models of Density
- 5 Correctly Specified Models of Conditional Expectation
- 6 The Asymptotic Distribution of the QMLE and the Information Matrix Equality
- 7 Asymptotic Efficiency
- 8 Hypothesis Testing and Asymptotic Covariance Matrix Estimation
- 9 Specification Testing Via m-Tests
- 10 Applications of m-Testing
- 11 Information Matrix Testing
- 12 Conclusion
- Appendix 1
- Appendix 2
- Appendix 3
- References
- Index
Index
Published online by Cambridge University Press: 05 January 2013
- Frontmatter
- 1 Introductory Remarks
- 2 Probability Densities, Likelihood Functions and Quasi-Maximum Likelihood Estimators
- 3 Consistency of the QMLE
- 4 Correctly Specified Models of Density
- 5 Correctly Specified Models of Conditional Expectation
- 6 The Asymptotic Distribution of the QMLE and the Information Matrix Equality
- 7 Asymptotic Efficiency
- 8 Hypothesis Testing and Asymptotic Covariance Matrix Estimation
- 9 Specification Testing Via m-Tests
- 10 Applications of m-Testing
- 11 Information Matrix Testing
- 12 Conclusion
- Appendix 1
- Appendix 2
- Appendix 3
- References
- Index
Summary
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- Estimation, Inference and Specification Analysis , pp. 369 - 380Publisher: Cambridge University PressPrint publication year: 1994