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Estimation, Inference and Specification Analysis : Econometric Society Monographs - Halbert White

Estimation, Inference and Specification Analysis

Econometric Society Monographs


Published: 30th September 1994
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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. 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.

'... 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.'

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
Appendix 1
Appendix 2
Appendix 3
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780521252805
ISBN-10: 0521252806
Series: Econometric Society Monographs
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 396
Published: 30th September 1994
Publisher: Cambridge University Press
Country of Publication: GB
Dimensions (cm): 22.8 x 15.2  x 2.5
Weight (kg): 0.75