+612 9045 4394
Estimation, Inference and Specification Analysis : Cambridge History of Science - Halbert White

Estimation, Inference and Specification Analysis

Cambridge History of Science

Hardcover Published: 30th September 1994
ISBN: 9780521252805
Number Of Pages: 396

Share This Book:


or 4 easy payments of $58.94 with Learn more
Ships in 7 to 10 business days

Other Available Editions (Hide)

  • Paperback View Product Published: 28th October 1996

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.

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.'

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: Cambridge History of Science
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 396
Published: 30th September 1994
Country of Publication: GB
Dimensions (cm): 22.86 x 15.24  x 2.54
Weight (kg): 0.75

This product is categorised by