Fourth order pseudo maximum likelihood methods

A-Tier
Journal: Journal of Econometrics
Year: 2011
Volume: 162
Issue: 2
Pages: 278-293

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

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

Abstract

We extend PML theory to account for information on the conditional moments up to order four, but without assuming a parametric model, to avoid a risk of misspecification of the conditional distribution. The key statistical tool is the quartic exponential family, which allows us to generalize the PML2 and QGPML1 methods proposed in Gourieroux et al. (1984) to PML4 and QGPML2 methods, respectively. An asymptotic theory is developed. The key numerical tool that we use is the Gauss-Freud integration scheme that solves a computational problem that has previously been raised in several fields. Simulation exercises demonstrate the feasibility and robustness of the methods.

Technical Details

RePEc Handle
repec:eee:econom:v:162:y:2011:i:2:p:278-293
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-26