Halbert White, White Halbert

Estimation, Inference and Specification Analysis

Herausgeber: Chesher, Andrew

• Broschiertes Buch

Produktbeschreibung

This book examines the consequences of misspecifications from the fundamental to the nonexistent for the interpretation of likelihood-based methods of statistical estimation and interference.

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Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 396
• Erscheinungstermin: 22. Mai 2004
• Englisch
• Abmessung: 229mm x 152mm x 23mm
• Gewicht: 641g
• ISBN-13: 9780521574464
• ISBN-10: 0521574463
• Artikelnr.: 21672065

Inhaltsangabe

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.