Publications [#238983] of George E. Tauchen

Journal Articles

1. Tauchen, G, Diagnostic testing and evaluation of maximum likelihood models, Journal of Econometrics, vol. 30 no. 1-2 (January, 1985), pp. 415-443, Elsevier BV, ISSN 0304-4076 (Presented at the Conference on New Methods in Econometrics, Austin Texas, May 1984.) [repository], [doi]
   (last updated on 2024/01/01)

   Abstract:
   The paper develops a unified theory of likelihood specification testing based on M-estimators of auxiliary parameters. The theory is sufficiently general to encompass a wide class of specification tests including moment-based tests, Pearson-type goodness of fit tests, the information matrix test, and the Cox test. The paper also presents a framework based on Frechet differentiation for determining the effects of misspecification on the almost sure limits of parameter estimates and specification test statistics. © 1985.