Quasi-maximum likelihood

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When an maximum likelihood estimator is applied to a model which is misspecified in ways that do not affect the consistency of the estimator, it is said to be a quasi-maximum likelihood estimator or QMLE.[1]

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[edit] References

  1. ^ MacKinnon, James (2004). Econometric Theory and Methods. New York, New York: Oxford University Press. ISBN 0-19-512372-7.