Econometrica: Jul 1984, Volume 52, Issue 4
Local Asymptotic Specification Error Analysis
Gary R. Skoog, Nicholas M. KieferAn approximation to the inconsistency introduced by imposing an incorrect restriction on a parametric model is given. The approximation can be applied to estimators generated by optimizing any objective function satisfying certain regularity conditions. Examples given include analysis of misspecification in discrete choice and time-series models estimated by maximum likelihood, and in a nonlinear regression model.
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