Diagnostic testing and evaluation of maximum likelihood models

Published

Journal Article

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.

Full Text

Duke Authors

Cited Authors

  • Tauchen, G

Published Date

  • January 1, 1985

Published In

Volume / Issue

  • 30 / 1-2

Start / End Page

  • 415 - 443

International Standard Serial Number (ISSN)

  • 0304-4076

Digital Object Identifier (DOI)

  • 10.1016/0304-4076(85)90149-6

Citation Source

  • Scopus