Directionally Differentiable Econometric Models

Jin Seo Cho () and Halbert White

No 2017rwp-103, Working papers from Yonsei University, Yonsei Economics Research Institute

Abstract: The current paper examines the limit distribution of the quasi-maximum likelihood estimator obtained from a directionally differentiable quasi-likelihood function and represents its limit distribution as a functional of a Gaussian stochastic process indexed by direction. In this way, the standard analysis that assumes a differentiable quasi-likelihood function is treated as a special case of our analysis. We also examine and redefine the standard quasi-likelihood ratio, Wald, and Lagrange multiplier test statistics so that their null limit behaviors are regular under our model framework.

Keywords: directionally differentiable quasi-likelihood function; Gaussian stochastic process; quasilikelihood ratio test; Wald test; and Lagrange multiplier test statistics. (search for similar items in EconPapers)
JEL-codes: C12 C13 C22 C32 (search for similar items in EconPapers)
Pages: 37pages
Date: 2017-04
New Economics Papers: this item is included in nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: DIRECTIONALLY DIFFERENTIABLE ECONOMETRIC MODELS (2018)
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