A Reappraisal of Misspecified Econometric Models

Alain Monfort

Econometric Theory, 1996, vol. 12, issue 4, 597-619

Abstract: This paper is the text of the 1994 Tjalling Koopmans Lecture of the Cowles Foundation. The aim of this lecture was to survey the roles of misspecified models in econometrics. Through 10 stories we show how the misspecifipation problems can be dealt with and how misspecified models can play a positive role in inference processes.

Date: 1996
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