DIRECTIONALLY DIFFERENTIABLE ECONOMETRIC MODELS

B-Tier
Journal: Econometric Theory
Year: 2018
Volume: 34
Issue: 5
Pages: 1101-1131

Authors (2)

Cho, Jin Seo (not in RePEc) White, Halbert

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

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

Abstract

The current article examines the limit distribution of the quasi-maximum likelihood estimator obtained from a directionally differentiable quasi-likelihood function and represents its limit distribution as a functional of a Gaussian stochastic process indexed by direction. In this way, the standard analysis that assumes a differentiable quasi-likelihood function is treated as a special case of our analysis. We also examine and redefine the standard quasi-likelihood ratio, Wald, and Lagrange multiplier test statistics so that their null limit behaviors are regular under our model framework.

Technical Details

RePEc Handle
repec:cup:etheor:v:34:y:2018:i:05:p:1101-1131_00
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25