Estimation, Inference and Specification Analysis - Couverture rigide

White, Halbert

Couverture rigide

ISBN 10 : 0521252806 ISBN 13 : 9780521252805

Editeur : Cambridge University Press, 1994

Synopsis

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.

A propos du livre

Revue de presse

'... 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

Détails de l'édition

• Éditeur: Cambridge University Press
• Date d'édition: 1994
• Langue: anglais
• ISBN 10: 0521252806
• ISBN 13: 9780521252805
• Reliure: Relié
• Nombre de pages: 396
• Coordonnées du fabricant: non disponible
• Personne responsable: Avery; https://www.avery.fr/; ; chemin des peupliers 27; Dardilly; France