Estimation, Inference and Specification Analysis by Halbert White

Estimation, Inference and Specification Analysis by Halbert White

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.

'.. 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

SKU	Nicht verfügbar
ISBN 13	9780521252805
ISBN 10	0521252806
Titel	Estimation, Inference and Specification Analysis
Autor	Halbert White
Serie	Econometric Society Monographs
Buchzustand	Nicht verfügbar
Verlag	Cambridge University Press
Erscheinungsjahr	1994-09-30
Seitenanzahl	396
Hinweis auf dem Einband	Die Abbildung des Buches dient nur Illustrationszwecken, die tatsächliche Bindung, das Cover und die Auflage können sich davon unterscheiden.
Hinweis	Nicht verfügbar