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Estimation, Inference, & Specification Analysis

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Estimation, Inference, & 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.

Description:

Includes bibliographical references (p. 359-367) and indexes.

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:
9780521252805
Author:
White, Halbert
Publisher:
Cambridge University Press
Editor:
Chesher, Andrew
Editor:
Jackson, Matthew
Author:
Jackson, Matthew
Author:
Hammond, Peter
Author:
Holly, Alberto
Author:
Chesher, Andrew
Location:
Cambridge ;
Subject:
Econometrics
Subject:
Econometric models
Subject:
Economics - General
Subject:
Econometric models Econometric models
Edition Description:
This book examines the consequenc
Series:
Cambridge History of Science
Series Volume:
#4no. 22
Publication Date:
19940931
Binding:
Paperback
Grade Level:
Professional and scholarly
Language:
English
Illustrations:
Yes
Pages:
396
Dimensions:
9.00x6.00x1.00 in. 1.65 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

Estimation, Inference, & Specification Analysis New Hardcover
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Product details 396 pages Cambridge University Press - English 9780521252805 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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