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

White, Halbert

Softcover

ISBN 10: 0521574463 ISBN 13: 9780521574464

Publisher: Cambridge University Press, 1996

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.

About 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

Edition details

• Publisher: Cambridge University Press
• Publication date: 1996
• Language: English
• ISBN 10: 0521574463
• ISBN 13: 9780521574464
• Binding: Paperback
• Number of pages: 396