Estimation, Inference and Specification Analysis

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.

Author: Halbert White
Publisher: Cambridge University Press
Published: 09/30/1994
Pages: 396
Binding Type: Hardcover
Weight: 1.65lbs
Size: 9.00h x 6.00w x 1.00d
ISBN: 9780521252805

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