Halbert WhiteEstimation, Inference and Specification Analysis
Herausgeber: Chesher, Andrew; Jackson, Matthew
Hinweis: Dieser Artikel kann nur an eine deutsche Lieferadresse ausgeliefert werden.
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.