Maximum Likelihood Estimation of Misspecified Models

@article{White1982MaximumLE,
  title={Maximum Likelihood Estimation of Misspecified Models},
  author={Halbert L. White},
  journal={Econometrica},
  year={1982},
  volume={50},
  pages={1-25}
}
  • H. White
  • Published 1982
  • Mathematics, Economics
  • Econometrica
This paper examines the consequences and detection of model misspecification when using maximum likelihood techniques for estimation and inference. The quasi-maximum likelihood estimator (QMLE) converges to a well defined limit, and may or may not be consistent for particular parameters of interest. Standard tests (Wald, Lagrange Multiplier, or Likelihood Ratio) are invalid in the presence of misspecification, but more general statistics are given which allow inferences to be drawn robustly… 
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