Fourth order pseudo maximum likelihood methods

Alberto Holly, Alain Monfort and Michael Rockinger ()

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Abstract: We extend PML theory to account for information on the conditional moments up to order four, but without assuming a parametric model, to avoid a risk of misspecification of the conditional distribution. The key statistical tool is the quartic exponential family, which allows us to generalize the PML2 and QGPML1 methods proposed in Gourieroux, Monfort, and Trognon (1984) to PML4 and QGPML2 methods, respectively. An asymptotic theory is developed. The key numerical tool that we use is the Gauss-Freud integration scheme that solves a computational problem that has previously been raised in several fields. Simulation exercises demonstrate the feasibility and robustness of the methods.

Keywords: C01; C13; C16; C22; Quartic exponential family; Pseudo maximum likelihood; Skewness; Kurtosis (search for similar items in EconPapers)
Date: 2011-04-19
Note: View the original document on HAL open archive server: https://hal.science/hal-00815562
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Citations: View citations in EconPapers (7)

Published in Econometrics, 2011, ⟨10.1016/j.jeconom.2011.01.004⟩

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Related works:
Journal Article: Fourth order pseudo maximum likelihood methods (2011)
Working Paper: Fourth Order Pseudo Maximum Likelihood Methods (2011)
Working Paper: Fourth Order Pseudo Maximum Likelihood Methods (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00815562

DOI: 10.1016/j.jeconom.2011.01.004

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