Abstract
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.
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© 1984 Springer-Verlag Berlin Heidelberg
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White, H. (1984). Maximum Likelihood Estimation of Misspecified Dynamic Models. In: Dijkstra, T.K. (eds) Misspecification Analysis. Lecture Notes in Economics and Mathematical Systems, vol 237. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-95461-0_1
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DOI: https://doi.org/10.1007/978-3-642-95461-0_1
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-13893-8
Online ISBN: 978-3-642-95461-0
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