Fourth Order Pseudo Maximum Likelihood Methods

A.M.E. Monfort, A. Holly, M. Rockinger

Research output: Contribution to journalArticleAcademicpeer-review

Abstract

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. 

Original languageEnglish
Pages (from-to)278-293
Number of pages16
JournalJournal of Econometrics
Volume162
Issue number2
DOIs
Publication statusPublished - Jun 2011

Keywords

  • Quartic exponential family
  • Pseudo maximum likelihood
  • Skewness
  • Kurtosis
  • GENERALIZED-METHOD
  • MOMENTS ESTIMATORS
  • GAMMA DISTRIBUTION
  • SAMPLE PROPERTIES
  • GMM ESTIMATION
  • PANEL-DATA
  • ENTROPY
  • DISTRIBUTIONS
  • VOLATILITY
  • SKEWNESS

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