Estimation, Inference and Specification Analysis

By: Halbert White, White Halbert, Andrew Chesher (Editor)

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Paperback | 28 October 1996

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396 Pages

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22.86 x 15.24 x 2.24

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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.

Industry Reviews

'... 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 '... a very good book on the theory of mis-specification ... thoroughly recommended to advanced graduate students in econometrics.'

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Introductory remarks
Probability densities, likelihood functions and the quasi-maximum likelihood estimator
Consistency of the QMLE
Correctly specified models of density
Correctly specified models of conditional expectation
The asymptotic distribution of the QMLE and the information matrix equality
Asymptotic efficiency
Hypothesis testing and asymptotic covariance matrix estimation
Specification testing via m-tests
Applications of m-testing
Information matrix testing
Conclusion
Appendix 1
Appendix 2
Appendix 3
Table of Contents provided by Publisher. All Rights Reserved.

Estimation, Inference and Specification Analysis

At a Glance

Paperback

Industry Reviews

Shipping

How to return your order

Defective items

You Can Find This Book In

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