Second order pseudo-maximum likelihood estimation and conditional variance misspecification

Bernard Lejeune ()
Additional contact information
Bernard Lejeune: Université de Liège and Center for Operations Research and Econometrics (CORE), Université catholique de Louvain (UCL), Louvain la Neuve, Belgium

No 1997079, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: In this paper, we study the behavior of second order pseudo-maximum likelihood estimators un- der conditional variance misspecification. We first determine sufficient and essentially necessary conditions for such an estimator to be, regardless of the conditional variance (mis)specification, consistent for the mean parameters when the conditional mean is correctly specified. These con- ditions imply that, even if mean and variance parameters vary independently, standard PML2 estimators are generally not robust to conditional variance misspecification. Further, we outline sufficient and essentially necessary conditions for a second order pseudo-maximum likelihood es- timator to be consistent for both mean and variance parameters when the conditional mean and the conditional variance are jointly correctly specified, and to remain consistent for the mean parameters when the conditional mean is correctly specified but the conditional variance is not jointly correctly specified. Finally, we provide limiting distribution results for this latter robust to conditional variance misspecification class of estimators under different assumptions regard- ing the degree of misspecification present in the model, show that its asymptotic covariance matrix is bounded and outline its similarities with QGPML1

Keywords: Pseudo-maximum likelihood methods; misspecified models (search for similar items in EconPapers)
JEL-codes: C13 C30 (search for similar items in EconPapers)
Date: 1997-10-01
References: Add references at CitEc
Citations:

Downloads: (external link)
https://sites.uclouvain.be/core/publications/coredp/coredp1997.html (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:1997079

Access Statistics for this paper

More papers in LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Alain GILLIS ().