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

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£31.99
Paperback 396 Pages / Published: 28/06/1996
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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.

Publisher: Cambridge University Press
ISBN: 9780521574464
Number of pages: 396
Weight: 520 g
Dimensions: 227 x 152 x 20 mm


MEDIA REVIEWS
'... 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
"...this often elegant and rigorous treatment of a wide variety of theoretical issues related to likelihood methods represents a useful contribution to the theoretical econometric literature on estimation and inference in possible misspecified models. The book should prove to be a useful reference book for econometric theorists. It should also be a useful reference and text for advanced graduate students wanting to learn about likelihood methods as well as the process of rigourous analysis of econometric methods in general." Journal of Economic Literature

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