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

 
9780521574464: Estimation, Inference Specification: 22 (Econometric Society Monographs, Series Number 22)

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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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'... 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

Book Description

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 explores the underlying motivation for maximum-likelihood estimation and examines methods by which the possibility of misspecification can be empirically investigated, and offers a variety of tests for misspecification.

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9780521252805: Estimation, Inference and Specification Analysis: 22 (Econometric Society Monographs, Series Number 22)

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ISBN 10:  0521252806 ISBN 13:  9780521252805
Publisher: Cambridge University Press, 1994
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Condition: Good. Volume 22. This is an ex-library book and may have the usual library/used-book markings inside.This book has soft covers. In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,600grams, ISBN:0521574463. Seller Inventory # 9980723

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Paperback. Condition: new. Paperback. 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. 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. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability. Seller Inventory # 9780521574464

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