Journal of Economic Theory and Econometrics: Journal of the Korean Econometric Society
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Journal of Economic Theory and Econometrics
JETEM/계량경제학보/計量經濟學報/JKES
Journal of the Korean Econometric Society

Quasi-Maximum Likelihood Estimation Revisited Using the Distance and Direction Method

Vol.23, No.2, June , 89–112



  •   (Yonsei University)

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Abstract  

We examine an asymptotic analysis of differentiable econometric models using the distance and direction (DD) method introduced by Cho and White (2012), in which the conventional analysis for the quasi-maximum likelihood estimation and inference can be treated as a special case. We extend their approach and revisit the conventional quasi-likelihood ratio,Wald, and Lagrange multiplier test statistics through a different perspective. This new perspective is further analyzed in a unified framework, and we exploit this to introduce new classes of test statistics.


Keywords
   distance and direction method, quasi-maximum likelihood estimation, asymptotic distribution, quasi-likelihood ratio test,Wald test, Lagrange multiplier test

JEL classification codes
   C12, C22, C45, C52
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