| Publications [#238983] of George E. Tauchen
Journal Articles
- 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.
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