Estimation, Inference and Specification Analysis

Halbert White

ISBN 10: 0521574463 / ISBN 13: 9780521574464

Published by Cambridge University Press, 1996

Druck auf Anfrage Neuware - Printed after ordering - 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. Although the theory presented in the book is motivated by econometric problems, its applicability is by no means restricted to economics. Subject to defined limitations, the theory applies to any scientific context in which statistical analysis is conducted using approximate models. Seller Inventory # 9780521574464

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.

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.

Bibliographic Details

Title: Estimation, Inference and Specification ...
Publisher: Cambridge University Press
Publication Date: 1996
Binding: Taschenbuch
Condition: Neu