Estimation, Inference Specification: 22 (Econometric Society Monographs, Series Number 22)

White

ISBN 10: 0521574463 / ISBN 13: 9780521574464

Published by Cambridge University Press, 1996

About this Item

This book examines the consequences of misspecifications from the fundamental to the nonexistent for the interpretation of likelihood-based methods of statistical estimation and interference. Series Editor(s): Chesher, Andrew; Jackson, Matthew. Series: Econometric Society Monographs. Num Pages: 396 pages, black & white illustrations. BIC Classification: KCH; PBT. Category: (P) Professional & Vocational. Dimension: 229 x 153 x 21. Weight in Grams: 614. . 2008. Revised ed. paperback. . . . . Books ship from the US and Ireland.

Seller Inventory # V9780521574464

Bibliographic Details

• Title: Estimation, Inference Specification: 22 (Econometric Society Monographs, Series Number 22)
• Publisher: Cambridge University Press
• Publication Date: 1996
• Language: English
• ISBN 10: 0521574463
• ISBN 13: 9780521574464
• Binding: Soft cover
• Condition: New

About this title

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.