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- catalog abstract ""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."--Jacket.".
- catalog contributor b6493312.
- catalog created "1994.".
- catalog date "1994".
- catalog date "1994.".
- catalog dateCopyrighted "1994.".
- catalog 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 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."--Jacket.".
- catalog description "Includes bibliographical references and index.".
- catalog description "Introductory remarks -- Probability densities, likelihood functions, and quasi-maximum likelihood estimators -- Consistency of the QMLE -- Correctly specified models of density -- Correctly specified models of conditional expectation -- The asymptotic distribution of the QMLE and the information matrix equality -- Asymptotic Efficiency -- Hypothesis testing and asymptotic covariance matrix estimation -- Specification testing via m-tests -- Information matrix testing -- Conclusion.".
- catalog extent "x, 380 p. ;".
- catalog identifier "0521252806".
- catalog isPartOf "Econometric Society monographs ; no. 22".
- catalog issued "1994".
- catalog issued "1994.".
- catalog language "eng".
- catalog publisher "Cambridge ; New York : Cambridge University Press".
- catalog subject "330/.01/5195 20".
- catalog subject "Econometric models.".
- catalog subject "HB141 .W548 1993".
- catalog tableOfContents "Introductory remarks -- Probability densities, likelihood functions, and quasi-maximum likelihood estimators -- Consistency of the QMLE -- Correctly specified models of density -- Correctly specified models of conditional expectation -- The asymptotic distribution of the QMLE and the information matrix equality -- Asymptotic Efficiency -- Hypothesis testing and asymptotic covariance matrix estimation -- Specification testing via m-tests -- Information matrix testing -- Conclusion.".
- catalog title "Estimation, inference, and specification analysis / Halbert White.".
- catalog type "text".