Hostname: page-component-8448b6f56d-wq2xx Total loading time: 0 Render date: 2024-04-23T08:48:36.195Z Has data issue: false hasContentIssue false
  • English
  • Français

A Reappraisal of Misspecified Econometric Models

Published online by Cambridge University Press:  11 February 2009

Alain Monfort
Alain Monfort
Affiliation:
CREST-INSEE
Get access Rights & Permissions [Opens in a new window]

Abstract

This paper is the text of the 1994 Tjalling Koopmans Lecture of the Cowles Foundation. The aim of this lecture was to survey the roles of misspecified models in econometrics. Through 10 stories we show how the misspecifipation problems can be dealt with and how misspecified models can play a positive role in inference processes.

Type
Research Article
Information
Econometric Theory , Volume 12 , Issue 4 , October 1996 , pp. 597 - 619
Copyright
Copyright © Cambridge University Press 1996

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Broze, L., Scaillet, O., & Zakoian, J.M. (1993) Indirect Simulation Based Inference of the Short Term Interest Rate. Discussion paper 9313, University de Bruxelles.Google Scholar
Ouffie, O. & Singleton, K. (1993) Simulated moments estimation of Markov models of assets prices. Econometrica 61, 929–952.Google Scholar
Engle, R. & Lee, G. (1994) Estimating Diffusion Models of Stochastic Volatility. Mimeo, University of San Diego.Google Scholar
Gallant, R. & Tauchen, G. (1996) Which moments to match? Econometric Theory, forthcoming.CrossRefGoogle Scholar
Gourieroux, C. & Monfort, A. (1993) Pseudo likelihood methods. In Handbook of Statistics, vol. 11, pp. 335–362. Amsterdam: North-Holland.Google Scholar
Gourieroux, C. & Monfort, A. (1994a). Indirect Inference for Stochastic Differential Equations. Discussion paper 9443, CREST.Google Scholar
Gourieroux, C. & Monfort, A. (1994b) Testing non nested hypotheses. In Handbook of Econometrics, vol. 4, pp. 2583–2637. Amsterdam: North-Holland.Google Scholar
Gourieroux, C. & Monfort, A. (1995a) Simulation Based Econometrics. Lecture notes, CORE.Google Scholar
Gourieroux, C. & Monfort, A. (1995b) Testing encompassing and simulating dynamic econometric models. Econometric Theory 11, 195–228.CrossRefGoogle Scholar
Gourieroux, C, Monfort, A., & Renault, E. (1993) Indirect inference. Journal of Applied Econometrics 8, 85–118.CrossRefGoogle Scholar
Gourieroux, C, Monfort, A., & Tenreiro, C. (1994) Kernel M-Estimators. Discussion paper 9405, CEPREMAP.Google Scholar
Gourieroux, C, Monfort, A., & Trognon, A. (1983) Testing nested and non-nested hypotheses. Journal of Econometrics 21, 83–115.CrossRefGoogle Scholar
Gourieroux, CMonfort, A., & Trognon, A. (1984a) Pseudo maximum likelihood methods theory. Econometrica 52 (3), 681–700.CrossRefGoogle Scholar
Gourieroux, C, Monfort, A., & Trognon, A. (1984b) Pseudo maximum likelihood methods: Applications to Poisson models. Econometrica 52 (3), 701–720.CrossRefGoogle Scholar
Gourieioux, C, A. Monfort, & Trognon, A. (1985) A general approach to serial correlation. Econometric Theory 1, 315–340.Google Scholar
Koopmans, T.C. & Hood, W.C. (1953) The Estimation of Simultaneous Linear Economic Relationships. Cowles Foundation Monograph 14, Yale University. (Third printing 1970, first printing 1953).Google Scholar
Kouki, M. & Renault, E. (1994) A Structural Approach to Determining Scale Economies in the Banking Industry. Mimeo, University de Toulouse.Google Scholar
Laroque, G. & Salanie, B. (1989) Estimation of multimarket fix-price models: An application of pseudo maximum likelihood methods. Econometrica 57, 831–860.CrossRefGoogle Scholar
Laroque, G. & Salani, B. (1993) Simulation based estimation of models with latent variables. Journal of Applied Econometrics 8, 119–133.CrossRefGoogle Scholar
Laroque, G. & Salanie, B. (1994) Estimating the canonical disequilibrium models: Asymptotic theory and finite sample properties. Journal of Econometrics 62, 165–210.CrossRefGoogle Scholar
Pastorello, S., Renault, E., & Touzi, N. (1994) Statistical Inference for Random Variance Option Pricing. Mimeo.Google Scholar