Diagnostic testing and evaluation of maximum likelihood models
Publication
, Journal Article
Tauchen, G
Published in: Journal of Econometrics
January 1, 1985
The paper develops a unified theory of likelihood specification testing based on M-estimators of auxiliary parameters. The theory is sufficiently general to encompass a wide class of specification tests including moment-based tests, Pearson-type goodness of fit tests, the information matrix test, and the Cox test. The paper also presents a framework based on Frechet differentiation for determining the effects of misspecification on the almost sure limits of parameter estimates and specification test statistics. © 1985.
Duke Scholars
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Published In
Journal of Econometrics
DOI
ISSN
0304-4076
Publication Date
January 1, 1985
Volume
30
Issue
1-2
Start / End Page
415 / 443
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics
Citation
APA
Chicago
ICMJE
MLA
NLM
Tauchen, G. (1985). Diagnostic testing and evaluation of maximum likelihood models. Journal of Econometrics, 30(1–2), 415–443. https://doi.org/10.1016/0304-4076(85)90149-6
Tauchen, G. “Diagnostic testing and evaluation of maximum likelihood models.” Journal of Econometrics 30, no. 1–2 (January 1, 1985): 415–43. https://doi.org/10.1016/0304-4076(85)90149-6.
Tauchen G. Diagnostic testing and evaluation of maximum likelihood models. Journal of Econometrics. 1985 Jan 1;30(1–2):415–43.
Tauchen, G. “Diagnostic testing and evaluation of maximum likelihood models.” Journal of Econometrics, vol. 30, no. 1–2, Jan. 1985, pp. 415–43. Scopus, doi:10.1016/0304-4076(85)90149-6.
Tauchen G. Diagnostic testing and evaluation of maximum likelihood models. Journal of Econometrics. 1985 Jan 1;30(1–2):415–443.
Published In
Journal of Econometrics
DOI
ISSN
0304-4076
Publication Date
January 1, 1985
Volume
30
Issue
1-2
Start / End Page
415 / 443
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics