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  3. Estimation, Inference and Specification Analysis
  • Cited by 434
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    • Publisher:
      Cambridge University Press
      Publication date:
      January 2013
      September 1994
      ISBN:
      9781139052238
      9780521252805
      9780521574464
      DOI:
      https://doi.org/10.1017/CCOL0521252806
      Dimensions:
      (228 x 152 mm)
      Weight & Pages:
      0.728kg, 396 Pages
      Dimensions:
      (228 x 152 mm)
      Weight & Pages:
      0.584kg, 396 Pages
      • Subjects:
      Economics, Mathematics, Logic, Categories and Sets, Econometrics and Mathematical Methods
      Series:
      Econometric Society Monographs (22)
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    • Selected: Digital
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    Subjects:
    Economics, Mathematics, Logic, Categories and Sets, Econometrics and Mathematical Methods
    Series:
    Econometric Society Monographs (22)
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    Book description

    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.

    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.’

    Source: Econometric Theory

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