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Estimation, Inference and Specification Analysis

Estimation, Inference and Specification Analysis

Estimation, Inference and Specification Analysis Paperback - 1996

by Halbert White

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Details

  • Title Estimation, Inference and Specification Analysis
  • Author Halbert White
  • Binding Paperback
  • Edition [ Edition: first
  • Condition New
  • Pages 396
  • Volumes 1
  • Language ENG
  • Publisher Cambridge University Press, West Nyack, New York, U.S.A.
  • Publication date 1996-06-28
  • Bookseller's Inventory # ria9780521574464_inp
  • ISBN 9780521574464 / 0521574463
  • Weight 1.15 lbs (0.52 kg)
  • Dimensions 8.94 x 6 x 0.77 in (22.71 x 15.24 x 1.96 cm)
  • Category Business / Economics / Finance
  • Dewey Decimal Code 330.015
  • Quantity available 516

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Reader reviews for Estimation, Inference and Specification Analysis

From the publisher

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.
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