Estimation, Inference and Specification Analysis (Econometric Society Monographs, Series Number 22) - Hardcover

White, Halbert

 
9780521252805: Estimation, Inference and Specification Analysis (Econometric Society Monographs, Series Number 22)
Hardcover
ISBN 10: 0521252806 ISBN 13: 9780521252805
Publisher: Cambridge University Press, 1994

Synopsis

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.

"synopsis" may belong to another edition of this title.

Book Description

This book examines the consequences of misspecifications for the interpretation of likelihood-based methods of statistical estimation and interference. The analysis concludes with an examination of methods by which the possibility of misspecification can be empirically investigated.

Review

"...this often elegant and rigorous treatment of a wide variety of theoretical issues related to likelihood methods represents a useful contribution to the theoretical econometric literature on estimation and inference in possible misspecified models. The book should prove to be a useful reference book for econometric theorists. It should also be a useful reference and text for advanced graduate students wanting to learn about likelihood methods as well as the process of rigourous analysis of econometric methods in general." Journal of Economic Literature

"About this title" may belong to another edition of this title.

Publisher
Cambridge University Press
Publication date
1994
Language
English
ISBN 10 
0521252806
ISBN 13 
9780521252805
Binding
Hardcover
Number of pages
396

Other Popular Editions of the Same Title

9780521574464: Estimation, Inference and Specification Analysis (Econometric Society Monographs, Series Number 22) (Volume 0)

Featured Edition

ISBN 10:  0521574463 ISBN 13:  9780521574464
Publisher: Cambridge University Press, 1996
Softcover