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Cover: 9780521252805 | Estimation, Inference and Specification Analysis | Halbert White
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Estimation, Inference and Specification Analysis
Buch von Halbert White
Sprache: Englisch

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Beschreibung
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.
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.
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.
Details
Erscheinungsjahr: 1994
Fachbereich: Volkswirtschaft
Genre: Importe, Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
ISBN-13: 9780521252805
ISBN-10: 0521252806
Sprache: Englisch
Ausstattung / Beilage: HC gerader Rücken kaschiert
Einband: Gebunden
Autor: White, Halbert
Redaktion: Jackson, Matthew
Hersteller: Cambridge University Press
Maße: 235 x 157 x 28 mm
Von/Mit: Halbert White
Erscheinungsdatum: 30.09.1994
Gewicht: 0,792 kg
Artikel-ID: 102245366
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.
Details
Erscheinungsjahr: 1994
Fachbereich: Volkswirtschaft
Genre: Importe, Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
ISBN-13: 9780521252805
ISBN-10: 0521252806
Sprache: Englisch
Ausstattung / Beilage: HC gerader Rücken kaschiert
Einband: Gebunden
Autor: White, Halbert
Redaktion: Jackson, Matthew
Hersteller: Cambridge University Press
Maße: 235 x 157 x 28 mm
Von/Mit: Halbert White
Erscheinungsdatum: 30.09.1994
Gewicht: 0,792 kg
Artikel-ID: 102245366
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