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Asymptotic Efficiency of Maximum Likelihood Estimators Under Misspecified Models

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Title: Asymptotic Efficiency of Maximum Likelihood Estimators Under Misspecified Models

Authors: Malay Ghosh, Jihyun Song

Journal: Pakistan Journal of Statistics and Operation Research

HEC Recognition History
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Y 2020-07-01 2021-06-30

Publisher: Asiatic Region

Country: Pakistan

Year: 2012

Volume: 8

Issue: 3

Language: English

DOI: 10.18187/pjsor.v8i3.525

Keywords: Maximum LikelihoodAsymptoticMisspecified Models

Categories
Estimation (67) Mathematics (5170) Econometrics (4472) Statistics (8857) Asymptotic Theory (4)

Abstract

We illustrate with examples when and how maximum likelihood estimators continue to be asymptotically efficient even under misspecified models. Also, we provide a necessary and sufficient condition under which a subset of the vector of MLE's retains its asymptotic efficiency under misspecified models even though the MLE itself is not fully asymptotic efficient.

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