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      Death and Mr. Pickwick

      Stephen Jarvis 9780374139667

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This title in other editions

Estimation, Inference and Specification Analysis

by

Estimation, Inference and Specification Analysis Cover

 

Synopses & Reviews

Publisher Comments:

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.

Synopsis:

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.

Table of Contents

1. Introductory remarks; 2. Probability densities, likelihood functions and the quasi-maximum likelihood estimator; 3. Consistency of the QMLE; 4. Correctly specified models of density; 5. Correctly specified models of conditional expectation; 6. The asymptotic distribution of the QMLE and the information matrix equality; 7. Asymptotic efficiency; 8. Hypothesis testing and asymptotic covariance matrix estimation; 9. Specification testing via m-tests; 10. Applications of m-testing; 11. Information matrix testing; 12. Conclusion; Appendix 1. Elementary concepts of measure theory and the Radon-Nikodym theorem; Appendix 2. Uniform laws of large numbers; Appendix 3. Central limit theorems.

Product Details

ISBN:
9780521574464
Editor:
Chesher, Andrew
Editor:
Jackson, Matthew
Editor:
Chesher, Andrew
Editor:
Jackson, Matthew
Author:
White, Halbert
Author:
Jackson, Matthew
Author:
Hammond, Peter
Author:
Halbert, White
Author:
Holly, Alberto
Author:
Chesher, Andrew
Publisher:
Cambridge University Press
Location:
New York
Subject:
Economics
Subject:
Econometrics
Subject:
Economics - Theory
Subject:
Econometric models
Subject:
Economics - General
Edition Description:
Trade paper
Series:
Econometric Society Monographs
Series Volume:
22
Publication Date:
20040531
Binding:
TRADE PAPER
Grade Level:
Professional and scholarly
Language:
English
Pages:
396
Dimensions:
8.94x6.00x.77 in. 1.15 lbs.

Related Subjects

History and Social Science » Economics » General
Science and Mathematics » Mathematics » Probability and Statistics » General
Science and Mathematics » Mathematics » Probability and Statistics » Statistics
Science and Mathematics » Physics » Solid State Physics

Estimation, Inference and Specification Analysis New Trade Paper
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Product details 396 pages Cambridge University Press - English 9780521574464 Reviews:
"Synopsis" by , 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.
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