THE ASYMPTOTIC VARIANCE OF THE PSEUDO MAXIMUM LIKELIHOOD ESTIMATOR

B-Tier
Journal: Econometric Theory
Year: 2007
Volume: 23
Issue: 5
Pages: 1022-1032

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We present an analytical closed-form expression for the asymptotic variance matrix in the misspecified multivariate regression model.I am grateful to Hamparsum Bozdogan of the University of Tennessee for bringing the idea of the sandwich variance matrix within the context of the misspecified multivariate regression model to my attention and to two referees for their constructive and useful comments.

Technical Details

RePEc Handle
repec:cup:etheor:v:23:y:2007:i:05:p:1022-1032_07
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25