• <Source Information> Jin Seo Cho and Halbert L. White: Econometric Theory, 34 (2018), 1101-1131.

  • <Abstract> The current paper examines the limit distribution of the quasi-maximum likelihood estimator obtained from a directionally differentiable quasi-likelihood function and represents its limit distribution as a functional of a Gaussian stochastic process indexed by direction. By this, the standard analysis that assumes a differentiable quasi-likelihood function is treated as a special case of our analysis. We also redefine the standard quasi-likelihood ratio, Wald, and Lagrange multiplier test statistics so that their null limit behaviors are regular under our model framework.