THE ASYMPTOTIC VARIANCE OF THE PSEUDO MAXIMUM LIKELIHOOD ESTIMATOR

Jan R. Magnus

Econometric Theory, 2007, vol. 23, issue 05, pages 1022-1032

Abstract: We present an analytical closed-form expression for the asymptotic variance matrix in the misspecified multivariate regression model.I am grateful to Hamparsum Bozdogan of the University of Tennessee for bringing the idea of the sandwich variance matrix within the context of the misspecified multivariate regression model to my attention and to two referees for their constructive and useful comments.

Date: 2007

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:23:y:2007:i:05:p:1022-1032_07

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