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	Non disponible
ISBN 13	9780521252805
ISBN 10	0521252806
Titre	Estimation, Inference and Specification Analysis
Auteur	Halbert White
Série	Econometric Society Monographs
État	Non disponible
Éditeur	Cambridge University Press
Année de publication	1994-09-30
Nombre de pages	396
Note de couverture	La photo du livre est présentée à titre d'illustration uniquement. La reliure, la couverture ou l'édition réelle peuvent varier.
Note	Non disponible