The asymptotic variance of the pseudo maximum likelihood estimator

Jan Magnus ()

No CIRJE-F-479, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: We present an analytical closed-form expression for the asymptotic variance matrix in the misspecified multivariate regression model.

Pages: 13 pages
Date: 2007-03
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: THE ASYMPTOTIC VARIANCE OF THE PSEUDO MAXIMUM LIKELIHOOD ESTIMATOR (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2007cf479

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