CIRJE-F-479 | "The asymptotic variance of the pseudo maximum likelihood estimator" |
Author Name | Magnus, Jan R. |
Date | March 2007 |
Full Paper | PDF file |
Remarks | Subsequently published in Econometric Theory 23, 1022-1032, 2007. |
Abstract |
We present an analytical closed-form expression for the asymptotic variance matrix in the misspecified multivariate regression model. |