Halbert White

Estimation, Inference and Specification Analysis

Herausgeber: Chesher, Andrew; Jackson, Matthew

• Gebundenes Buch

Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 396
• Erscheinungstermin: 30. September 1994
• Englisch
• Abmessung: 235mm x 157mm x 28mm
• Gewicht: 794g
• ISBN-13: 9780521252805
• ISBN-10: 0521252806
• Artikelnr.: 22316375

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.