Estimation, Inference and Specification Analysis - Rilegato

White, Halbert

Rilegato

ISBN 10: 0521252806 ISBN 13: 9780521252805

Casa editrice: Cambridge University Press, 1994

Riassunto

This book examines the consequences of misspecifications ranging from the fundamental to the nonexistent for the interpretation of likelihood-based methods of statistical estimation and interference. Professor White first explores the underlying motivation for maximum-likelihood estimation, treats the interpretation of the maximum-likelihood estimator (MLE) for misspecified probability models, and gives the conditions under which parameters of interest can be consistently estimated despite misspecification, and the consequences of misspecification, for hypothesis testing in estimating the asymptotic covariance matrix of the parameters. Although the theory presented in the book is motivated by econometric problems, its applicability is by no means restricted to economics. Subject to defined limitations, the theory applies to any scientific context in which statistical analysis is conducted using approximate models.

Su questo libro

Recensione:

'... contains much material of interest to econometricians ... a useful source book for researchers, instructors and graduate students and essential reading for those interested in the effects of misspecification.' Econometric Theory

Descrizione del libro:

This book examines the consequences of misspecifications ranging from the fundamental to the nonexistent for the interpretation of likelihood-based methods of statistical estimation and interference. Professor White explores the underlying motivation for maximum-likelihood estimation and examines methods by which the possibility of misspecification can be empirically investigated, and offers a variety of tests for misspecification.

Su questa edizione

• Editore: Cambridge University Press
• Data di pubblicazione: 1994
• ISBN 10: 0521252806
• ISBN 13: 9780521252805
• Rilegatura: Copertina rigida
• Numero di pagine: 396