| 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. |