The current article examines the limit distribution of the quasi-maximum likelihood estimator obtained from a directionally differentiable quasi-likelihood function and represents its limit distribution as a functional of a Gaussian stochastic process indexed by direction. In this way, the standard analysis that assumes a differentiable quasi-likelihood function is treated as a special case of our analysis. We also examine and redefine the standard quasi-likelihood ratio, Wald, and Lagrange multiplier test statistics so that their null limit behaviors are regular under our model framework.
|Number of pages||31|
|Publication status||Published - 2018 Oct 1|
Bibliographical notePublisher Copyright:
Copyright © Cambridge University Press 2017.
All Science Journal Classification (ASJC) codes
- Social Sciences (miscellaneous)
- Economics and Econometrics