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Fourth order pseudo maximum likelihood methods
Holly, Alberto; Monfort, Alain; Rockinger, Michael - 2009
The objective of this paper is to extend the results on Pseudo Maximum Likelihood (PML) theory derived in Gourieroux, Monfort, and Trognon (GMT) (1984) to a situation where the first four conditional moments are specified. Such an extension is relevant in light of pervasive evidence that...
Persistent link: https://www.econbiz.de/10003970462
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A remark on Hausmanʹs specification test
Holly, Alberto - 1980 - 2. vers
Persistent link: https://www.econbiz.de/10002873379
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Testing for exogeneity : a survey
Holly, Alberto - 1985
Persistent link: https://www.econbiz.de/10002873432
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A random linear functional approach to efficiency bounds
Holly, Alberto - In: Journal of econometrics 65 (1995) 1, pp. 235-261
Persistent link: https://www.econbiz.de/10001173086
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Testing for exogeneity : a survey
Holly, Alberto - In: Economic notes : economic review of Banca Monte dei … (1987), pp. 108-130
Persistent link: https://www.econbiz.de/10001054665
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Tensor components of multivariate hermite polynomials and moments of a multivariate normal distribution
Holly, Alberto - 1986
Persistent link: https://www.econbiz.de/10000734491
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An asymptotic expansion for the distribution of test criteria which are asymptotically distributed as chi-squared under contiguous alternatives
Holly, Alberto; Gardiol, Lucien - 1993
Persistent link: https://www.econbiz.de/10000879135
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A score test for individual heteroscedasticity in a one-way error components model
Holly, Alberto; Gardiol, Lucien - In: Panel data econometrics : future directions : papers in …, (pp. 199-211). 2000
Persistent link: https://www.econbiz.de/10001488072
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A note on instrumental variables and maximum likelihood estimation procedures
Holly, Alberto - In: Annales d'économie et de statistique (1988), pp. 121-138
Persistent link: https://www.econbiz.de/10001054410
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A score test for individual heteroscedasticity in a one-way error components model
Holly, Alberto; Gardiol, Lucien - 1999
Persistent link: https://www.econbiz.de/10001454427