Fourth order pseudo maximum likelihood methods
We extend PML theory to account for information on the conditional moments up to order four, but without assuming a parametric model, to avoid a risk of misspecification of the conditional distribution. The key statistical tool is the quartic exponential family, which allows us to generalize the PML...
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| Veröffentlicht in: | Econometrics 2011-06, Vol.162 (2), p.278-293 |
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| container_title | Econometrics |
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| creator | Holly, Alberto Monfort, Alain Rockinger, Michael |
| description | We extend PML theory to account for information on the conditional moments up to order four, but without assuming a parametric model, to avoid a risk of misspecification of the conditional distribution. The key statistical tool is the quartic exponential family, which allows us to generalize the PML2 and QGPML1 methods proposed in
Gourieroux et al. (1984) to PML4 and QGPML2 methods, respectively. An asymptotic theory is developed. The key numerical tool that we use is the Gauss–Freud integration scheme that solves a computational problem that has previously been raised in several fields. Simulation exercises demonstrate the feasibility and robustness of the methods. |
| doi_str_mv | 10.1016/j.jeconom.2011.01.004 |
| format | Article |
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Gourieroux et al. (1984) to PML4 and QGPML2 methods, respectively. An asymptotic theory is developed. The key numerical tool that we use is the Gauss–Freud integration scheme that solves a computational problem that has previously been raised in several fields. 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Gourieroux et al. (1984) to PML4 and QGPML2 methods, respectively. An asymptotic theory is developed. The key numerical tool that we use is the Gauss–Freud integration scheme that solves a computational problem that has previously been raised in several fields. Simulation exercises demonstrate the feasibility and robustness of the methods.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/j.jeconom.2011.01.004</doi><tpages>16</tpages><oa>free_for_read</oa></addata></record> |
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| subjects | Asymptotic methods Computational methods Conditional moments Econometric models Econometrics Estimation Kurtosis Maximum likelihood method Numerical analysis Pseudo maximum likelihood Pseudo maximum likelihood methods Quantitative Finance Quartic exponential family Quartic exponential family Pseudo maximum likelihood Skewness Kurtosis Simulation Simulation techniques Skewness Statistical Finance Statistical models Studies |
| title | Fourth order pseudo maximum likelihood methods |
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