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A Reappraisal of Misspecified Econometric Models

Published online by Cambridge University Press:  11 February 2009

Alain Monfort
Alain Monfort
Affiliation:
CREST-INSEE
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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.

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

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