Estimation, Inference and Specification Analysis

Halbert White

ISBN 10: 0521252806 / ISBN 13: 9780521252805

Editore: Cambridge University Press, 1994

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Druck auf Anfrage Neuware - Printed after ordering - 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. The analysis concludes with an examination of methods by which the possibility of misspecification can be empirically investigated and offers a variety of tests for misspecification.

Codice articolo 9780521252805

Dati bibliografici

• Titolo: Estimation, Inference and Specification Analysis
• Editore: Cambridge University Press
• Data di pubblicazione: 1994
• Lingua: Inglese
• ISBN 10: 0521252806
• ISBN 13: 9780521252805
• Rilegatura: Buch
• Condizione: Neu
• Dimensioni: 235 L x 157 A x 28 P (millimetri) 235 millimetri di larghezza per 157 millimetri di altezza per 28 millimetri di profondità
• Peso: 792 grammi

Descrizione articolo

Riassunto

This book examines the consequences of misspecifications from the fundamental to the nonexistent for the interpretation of likelihood-based methods of statistical estimation and interference.

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