Estimation, Inference and Specification Analysis

Zusammenfassung 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. Inhaltsverzeichnis 1. Introductory remarks; 2. Probability densities, likelihood functions and the quasi-maximum likelihood estimator; 3. Consistency of the QMLE; 4. Correctly specified models of density; 5. Correctly specified models of conditional expectation; 6. The asymptotic distribution of the QMLE and the information matrix equality; 7. Asymptotic efficiency; 8. Hypothesis testing and asymptotic covariance matrix estimation; 9. Specification testing via m-tests; 10. Applications of m-testing; 11. Information matrix testing; 12. Conclusion; Appendix 1. Elementary concepts of measure theory and the Radon-Nikodym theorem; Appendix 2. Uniform laws of large numbers; Appendix 3. Central limit theorems.

Dettagli sul prodotto

• Autori: Halbert White, Halbert (University of California White, The late Halbert White
• Con la collaborazione di: Andrew Chesher (Editore), Matthew Jackson (Editore)
• Editore: Cambridge University Press ELT
• Lingue: Inglese
• Formato: Copertina rigida
• Pubblicazione: 30.09.1994
• EAN: 9780521252805
• ISBN: 978-0-521-25280-5
• Pagine: 396
• Serie: The Cambridge History of Science
• Categorie: Guide e manuali > Diritto, professione, finanze; Scienze sociali, diritto, economia > Economia > Economia politica