{"product_id":"estimation-inference-and-specification-analysis-hardback-9780521252805","title":"Estimation, Inference and Specification Analysis (Hardback) 9780521252805","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eEstimation, Inference and Specification Analysis\u003c\/font\u003e\u003cbr\u003e\r\n\r\n\r\n\u003c\/p\u003e\n\u003cp\u003e\u003cem\u003eThis book examines the consequences of misspecifications from the fundamental to the nonexistent for the interpretation of likelihood-based methods of statistical estimation and interference.\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eHalbert White (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9780521252805, Cambridge University Press\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 30 September 1994\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e396 pages\u003cbr\u003e23.6 x 15.7 x 3 cm, 0.728 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cem\u003e\u003cfont size=\"3\"\u003e'... contains much material of interest to econometricians … a useful source book for researchers, instructors and graduate students and essential reading for those interested in the effects of misspecification.' Econometric Theory\u003c\/font\u003e\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003eThis book examines the consequences of misspecifications ranging from the fundamental to the nonexistent for the interpretation of likelihood-based methods of statistical estimation and interference. 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, and the consequences of misspecification, for hypothesis testing in estimating the asymptotic covariance matrix of the parameters. 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.\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e1. Introductory remarks\u003cbr\u003e 2. Probability densities, likelihood functions and the quasi-maximum likelihood estimator\u003cbr\u003e 3. Consistency of the QMLE\u003cbr\u003e 4. Correctly specified models of density\u003cbr\u003e 5. Correctly specified models of conditional expectation\u003cbr\u003e 6. The asymptotic distribution of the QMLE and the information matrix equality\u003cbr\u003e 7. Asymptotic efficiency\u003cbr\u003e 8. Hypothesis testing and asymptotic covariance matrix estimation\u003cbr\u003e 9. Specification testing via m-tests\u003cbr\u003e 10. Applications of m-testing\u003cbr\u003e 11. Information matrix testing\u003cbr\u003e 12. Conclusion\u003cbr\u003e Appendix 1. Elementary concepts of measure theory and the Radon-Nikodym theorem\u003cbr\u003e Appendix 2. Uniform laws of large numbers\u003cbr\u003e Appendix 3. Central limit theorems.\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Econometrics [\u003ca title=\"See our other books on Econometrics\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Econometrics%20%5BKCH%5D%22\"\u003eKCH\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Cambridge University Press","offers":[{"title":"Default Title","offer_id":46004808450328,"sku":"9780521252805","price":75.89,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/products\/9780521252805i_9593926d-0391-4f5e-af9a-4c14eec624bf.jpg?v=1691374093","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/estimation-inference-and-specification-analysis-hardback-9780521252805","provider":"Freshly Printed Books","version":"1.0","type":"link"}