Estimation, Inference and Specification Analysis
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Estimation, Inference and Specification Analysis by Halbert White
Book DescriptionThis 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.
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Book DetailsISBN: 9780521574464
(228mm x 152mm x 22mm)
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 28-Jun-1996
Country of Publication: United Kingdom
Books By Author Halbert White
Dynamic Econometric Modeling, Paperback (November 2005)
This book brings together presentations of some of the fundamental new research in dynamic econometric modeling.
Cointegration, Causality, and Forecasting, Hardback (October 1999)
A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with Granger.
Estimation, Inference and Specification Analysis, Hardback (September 1994)» View all books by Halbert White
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.
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