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Maximum likelihood estimation of misspecified dynamic models. (English) Zbl 0577.62090

Misspecification analysis, Proc. Workshop, Groningen/Neth. 1983, Lect. Notes Econ. Math. Syst. 237, 1-19 (1984).
Summary: [For the entire collection see Zbl 0559.00010.]
In this paper we present a number of results which describe the behavior of the maximum likelihood estimator of the parameters of a dynamic model which is incorrectly or incompletely specified. We provide conditions which ensure the existence of the quasi-maximum likelihood estimator (QMLE) and its consistency for the parameters of an approximation to the unknown true probability density which has optimal information theoretic properties.
The ability of the QMLE to consistently estimate certain parameters of interest despite misspecification is investigated. We give conditions ensuring the asymptotic normality of the QMLE together with conditions under which its asymptotic covariance matrix may be consistently estimated. Two model specification tests are briefly discussed.

MSC:

62P20 Applications of statistics to economics

Citations:

Zbl 0559.00010