Estimation, inference, and specification analysis /

Estimation, inference, and specification analysis /

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 inference. Professor White first explores the underlying motivation for maximum-likelihood estimation, treats the...

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Bibliographic Details
Main Author: White, Halbert
Format: Book
Language:English
Published: Cambridge ; New York : Cambridge University Press, 1994.
Series:Econometric Society monographs ; no. 22
Subjects:
Econometric models.
Online Access:Table of contents
Publisher description
Table of Contents:
  • 1. Introductory Remarks
  • 2. Probability Densities, Likelihood Functions and Quasi-Maximum Likelihood Estimators
  • 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
  • Assumption Index
  • Definition, Lemma, Proposition, Theorem and Corollary.

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