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Local asymptotic specification error analysis. (English) Zbl 0566.62097

Authors’ summary: An approximation to the inconsistency introduced by imposing an incorrect restriction on a parametric model is given. The approximation can be applied to estimators generated by optimizing any objective function satisfying certain regularity conditions. Examples given include analysis of misspecification in discrete choice and time- series models estimated by maximum likelihood, and in a nonlinear regression model.
Reviewer: J.Schwarze

MSC:

62P20 Applications of statistics to economics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J02 General nonlinear regression
62J99 Linear inference, regression
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