UID:
almafu_9960120032102883
Format:
1 online resource (x, 380 pages) :
,
digital, PDF file(s).
ISBN:
1-139-05223-3
Series Statement:
Econometric Society monographs ; 22
Content:
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.
Note:
Title from publisher's bibliographic system (viewed on 05 Oct 2015).
,
Introductory remarks -- Probability densities, likelihood functions, and quasi-maximum likelihood estimators -- Consistency of the QMLE -- Correctly specified models of density -- Correctly specified models of conditional expectation -- The asymptotic distribution of the QMLE and the information matrix equality -- Asymptotic Efficiency -- Hypothesis testing and asymptotic covariance matrix estimation -- Specification testing via m-tests -- Information matrix testing -- Conclusion.
,
English
Additional Edition:
ISBN 0-521-57446-3
Additional Edition:
ISBN 0-521-25280-6
Language:
English
URL:
Volltext
(lizenzpflichtig)
URL:
https://doi.org/10.1017/CCOL0521252806
URL:
https://doi.org/10.1017/CCOL0521252806
