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	Unavailable
ISBN 13	9780521252805
ISBN 10	0521252806
Title	Estimation, Inference and Specification Analysis
Author	Halbert White
Series	Econometric Society Monographs
Condition	Unavailable
Publisher	Cambridge University Press
Year published	1994-09-30
Number of pages	396
Cover note	Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
Note	Unavailable