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Newey, W.K. and D. McFadden (1994) ``Large Sample Estimation
and Hypothesis Testing'' in D. McFadden and R. Engle (eds.)
Handbook of Econometrics vol 4, Elsevier, Amsterdam.
- 2
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Manski, C.F. (1994) ``Analog Estimation of Econometric
Models'' in D. McFadden and R. Engle (eds.)
Handbook of Econometrics vol 4, Elsevier, Amsterdam.
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Rao, C.R. (1965) Linear Statistical Inference and Its
Applications Wiley, chapters 4-7.
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Prakasa Rao, B.L.S. (1987) Asymtotic Theory of Statistical
Inference John Wiley & Sons.
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Ibragimov, I.A. and R.Z. Khas'minskii (1981) Statistical
Estimation - Asymptotic Theory Springer Verlag.
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Le Cam, L. (1953) ``On Some Asymptotic Properties of Maximum
Likelihood Estimates and Related Bayes Estimates'' University
of California Publications in Statistics 1 277-330.
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Le Cam, L. (1970) ``On the Assumptions Used to Prove
Asymptotic Normality of Maximum Likelihood Estimates''
Annals of Statistics 41-3 802-828.
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Le Cam, L. (1986) Asymptotic Methods in Statistical
Decision Theory Springer-Verlag.
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Le Cam, L. Yang, G.L. (1990) Asymptotics in Statistics:
Some Basic Concepts Springer-Verlag.
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Pfanzagl, J. (1982) Contributions to a General Asymptotic
Statistical Theory Springer-Verlag.
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Huber, P.J. (1967) ``The Behavior of Maximum Likelihood Estimates
under Non-Standard Conditions'' in Proceedings of the the 5th
Berkeley Symposium on Mathematical Statistics and Probability,
University of California Press.
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White, H. (1982) ``Maximum Likelihood Estimation of Misspecified
Models'' Econometrica 50 1-26.
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Basawa, I.V. and B.L.S. Prakasa Rao (1980) Statistical
Inference for Stochastic Processes Academic Press.
- 14
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Billingsley, P. (1961) Statistical Methods for Markov
Processes University of Chicago Press.
- 15
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Crowder, M.J. (1976) ``Maximum Likelihood Estimation for
Dependent Observations'' Journal of Royal Statistical Society
Series B 38 45-53.
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Kiefer, J. and J. Wolfowitz (1956) ``Consistency of the Maximum
Likelihood Estimator in the Presence of Infinitely Many
Incidental Parameters'' Annals of Mathematical Statistics
27 887-906.
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Bahadur, R.R. (1958) ``Examples of Inconsistency of Maximum Likelihood
Estimates'' Sankya 20 207-210.
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Ruud, P.A. (1983) ``Sufficient Conditions for the Consistency
of Maximum Likelihood Estimation Despite Misspecification of
Distribution'' Econometrica 51 225-228.
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Guorieroux, C. Monfort, A. and A. Trognon (1984) ``Psuedo
Maximum Likelihood Methods: Theory'' Econometrica
52 681-700.
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Cox, D.R. (1975) ``Partial Likelihood'' Biometrika
62 269-276.
- 21
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Burgete, J.F. A.R. Gallant, and G. Souza (1982) ``On Unification
of Asymptotic Theory of Nonlinear Econometric Models'' Econometric
Reviews 1 151-190.
- 22
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Newey, W. (1988) ``Asymptotic Equivalence of Closest Moments
and GMM Estimators'' Econometric Theory 4 336-340.
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Bates, C. and White, H. (1985) ``A Unified Theory of Consistent
Estimation for Parametric Models'' Econometric Theory 1
151-178.
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Hansen, L.P. (1982) ``Large Sample Properties of Generalized
Method of Moments Estimators'' Econometrica 50 1029-1054.
- 25
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Gallant, A.R. Tauchen, G. (1992) ``Which Moments to Match?''
manuscript, North Carolina State University.
- 26
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Amemiya, T. (1983) ``Non-Linear Regression Models'' in Z. Griliches and
M.D. Intrilligator (eds.) Handbook of Econometrics
vol 1, 333-389.
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Manski, C.F. (1983) ``Closest Empirical Distribution Estimation''
Econometrica 51 305-319.
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Gallant, A.R. White, H. (1988) A Unified Theory of Estimation
and Inference for Nonlinear Dynamic Models Basil Blackwell.
- 29
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Wooldridge, J.M. (1994) ``Estimation and Inference for
Dependent Processes'' in R. Engle and D. McFadden (eds.)
Handbook of Econometrics volume 4, Elsevier,
Amsterdam.
- 30
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Jennrich, R.I. (1969) ``Asymptotic Properties of Nonlinear
Least Squares Estimators'' Annals of Mathematical Statistics
40 633-643.
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Pötscher, B.M. and I.R. Prucha (1991) ``Basic Structure
of the Asymptotic Theory in Dynamic Nonlinear Econometric Models,
Part I: Consistency and Approximation Concepts'' Econometric
Reviews 10 125-216.
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Pötscher, B.M. and I.R. Prucha (1991) ``Basic Structure
of the Asymptotic Theory in Dynamic Nonlinear Econometric Models,
Part II: Asymptotic Normality'' Econometric
Reviews 10 253-325.
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White, H. (1982) ``Instrumental Variables Regression with Independent
Observations'' Econometrica 50 483-499.
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Domowitz, I. and H. White (1982) ``Misspecified Models with Dependent
Observations'' Journal of Econometrics 20 35-58.
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White, H. and I. Domowitz (1984) ``Nonlinear Regression with
Dependent Observations'' Econometrica 52 143-161.
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Ferguson, T.S. (1958) ``A Method of Generating Best Asymptotically
Normal Estimates with an Application to the Estimation of
Bacterial Densities''
Hypothesis and Specification Testing
John Rust
2001-01-09