Estimation, Inference and Specification Analysis
Format:Paperback
Publisher:Cambridge University Press
Published:28th Jun '96
Currently unavailable, and unfortunately no date known when it will be back
This paperback is available in another edition too:
- Hardback£82.00(9780521252805)
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.
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.
'... contains much material of interest to econometricians … a useful source book for researchers, instructors and graduate students and essential reading for those interested in the effects of misspecification.' Econometric Theory
ISBN: 9780521574464
Dimensions: 228mm x 152mm x 24mm
Weight: 584g
396 pages