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, treat...
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge [u.a.]
Cambridge Univ. Press
1994
|
| Edition: | 1. publ. |
| Series: | Econometric Society monographs
22 |
| Subjects: | |
| Online Access: | Publisher description Table of contents |
| Summary: | "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 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. He then investigates the limiting distribution of the MLE under misspecification, the conditions under which MLE efficiency is not affected 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." "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."--BOOK JACKET. |
| Physical Description: | X, 380 S. |
| ISBN: | 0521252806 |
Staff View
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Record in the Search Index
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| author | White, Halbert 1950-2012 |
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| bvnumber | BV009939589 |
| callnumber-first | H - Social Science |
| callnumber-label | HB141 |
| callnumber-raw | HB141.W548 1994 |
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| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 1. publ. |
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| id | DE-604.BV009939589 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-20T07:49:32Z |
| institution | BVB |
| isbn | 0521252806 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-006585172 |
| oclc_num | 26673547 |
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| physical | X, 380 S. |
| publishDate | 1994 |
| publishDateSearch | 1994 |
| publishDateSort | 1994 |
| publisher | Cambridge Univ. Press |
| record_format | marc |
| series | Econometric Society monographs |
| series2 | Econometric Society: Econometric Society monographs |
| spelling | White, Halbert 1950-2012 Verfasser (DE-588)121759946 aut Estimation, inference and specification analysis Halbert White 1. publ. Cambridge [u.a.] Cambridge Univ. Press 1994 X, 380 S. txt rdacontent n rdamedia nc rdacarrier Econometric Society: Econometric Society monographs 22 "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 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. He then investigates the limiting distribution of the MLE under misspecification, the conditions under which MLE efficiency is not affected 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." "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."--BOOK JACKET. Econometrische modellen gtt Modèles économétriques Statistische analyse gtt Ökonometrisches Modell Econometric models Maximum-Likelihood-Schätzung (DE-588)4194624-8 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Spezifikation (DE-588)4139161-5 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 s DE-604 Spezifikation (DE-588)4139161-5 s Ökonometrie (DE-588)4132280-0 s Maximum-Likelihood-Schätzung (DE-588)4194624-8 s Econometric Society monographs 22 (DE-604)BV000018129 22 http://www.loc.gov/catdir/description/cam025/92030563.html Publisher description http://www.loc.gov/catdir/toc/cam026/92030563.html Table of contents |
| spellingShingle | White, Halbert 1950-2012 Estimation, inference and specification analysis Econometric Society monographs Econometrische modellen gtt Modèles économétriques Statistische analyse gtt Ökonometrisches Modell Econometric models Maximum-Likelihood-Schätzung (DE-588)4194624-8 gnd Ökonometrie (DE-588)4132280-0 gnd Spezifikation (DE-588)4139161-5 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| subject_GND | (DE-588)4194624-8 (DE-588)4132280-0 (DE-588)4139161-5 (DE-588)4043212-9 |
| title | Estimation, inference and specification analysis |
| title_auth | Estimation, inference and specification analysis |
| title_exact_search | Estimation, inference and specification analysis |
| title_full | Estimation, inference and specification analysis Halbert White |
| title_fullStr | Estimation, inference and specification analysis Halbert White |
| title_full_unstemmed | Estimation, inference and specification analysis Halbert White |
| title_short | Estimation, inference and specification analysis |
| title_sort | estimation inference and specification analysis |
| topic | Econometrische modellen gtt Modèles économétriques Statistische analyse gtt Ökonometrisches Modell Econometric models Maximum-Likelihood-Schätzung (DE-588)4194624-8 gnd Ökonometrie (DE-588)4132280-0 gnd Spezifikation (DE-588)4139161-5 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| topic_facet | Econometrische modellen Modèles économétriques Statistische analyse Ökonometrisches Modell Econometric models Maximum-Likelihood-Schätzung Ökonometrie Spezifikation |
| url | http://www.loc.gov/catdir/description/cam025/92030563.html http://www.loc.gov/catdir/toc/cam026/92030563.html |
| volume_link | (DE-604)BV000018129 |
| work_keys_str_mv | AT whitehalbert estimationinferenceandspecificationanalysis |