DIRECTIONALLY DIFFERENTIABLE ECONOMETRIC MODELS. (22nd August 2017)

• Record Type: Journal Article
• Authors: Cho, Jin Seo; White, Halbert
• Is Part Of: Econometric theory. Volume 34:Number 5(2018)
• Page Start: 1101
• Page End: 1131
• Publication Date: 2017-08-22
• Subjects: Econometrics -- Periodicals; 330.01519505
• DOI: 10.1017/S0266466617000354
• Languages: English
• ISSNs: 0266-4666

Abstract

Abstract : The current article 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.