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Maximum Likelihood Estimation of Misspecified Models : Twenty Years Later - T. Fomby

Maximum Likelihood Estimation of Misspecified Models

Twenty Years Later

By: T. Fomby (Editor), R. Carter Hill (Editor)

Hardcover

Published: 1st December 2003
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This volume is the result of an Advances in Econometrics conference held in November of 2002 at Louisiana State University in recognition of Halbert White's pioneering work published in Econometrica in 1980 and 1982 on robust variance-covariance estimation and quasi-maximum likelihood estimation. It contains 11 papers on a range of related topics including the estimation of possibly misspecified error component and fixed effects panel models, estimation and inference in possibly misspecified quantile regression models, quasi-maximum likelihood estimation of linear regression models with bounded and symmetric errors and quasi-maximum likelihood estimation of models with parameter dependencies between the mean vector and error variance-covariance matrix. Other topics include GMM, HAC, Heckit, asymmetric GARCH, Cross-Entropy, and multivariate deterministic trend estimation and testing under various possible misspecifications.

...Eleven papers focus on maximum likelihood estimation in the presence of misspecified models, or quasi-maximum likelihood estimation, and recognize Halbert White's pioneering work on the topic beginning in 1982. Journal of Economic Literature, 2004

A comparative study of pure and pretest estimators for a possibly misspecified two-way error component model
Tests of common deterministic trend slopes applied to quarterly global temperature data
The sandwich estimate of variance
Test statistics and critical values in selectivity models
Estimation, inference, and specification testing for possibly misspecified quantile regression
Maximum likelihood estimation with bounded symmetric errors
Consistent quasi-maximum likelihood estimation with limited information
An examination of the sign and volatility switching ARCH models under alternative distributional assumptions
Estimating a linear exponential density when the weighting matrix and mean parameter vector are functionally related
Testing in GMM models without truncation
Bayesian analysis of misspecified models with fixed effects
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780762310753
ISBN-10: 0762310758
Series: Advances in Econometrics : Book 17
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 268
Published: 1st December 2003
Publisher: Emerald Publishing Limited
Country of Publication: US
Dimensions (cm): 23.4 x 15.6  x 1.5
Weight (kg): 0.55