Estimation, Inference and Specification Analysis

Name: Estimation, Inference and Specification Analysis
Brand: Cambridge University Press
SKU: 9780521252805
Price: 2607 CZK
Availability: InStock

Autor: Halbert White

Jazyk:

Vazba: Pevná

Vydavatel: Cambridge University Press

Dostupnost: Skladem u dodavatele

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2 607 Kč

This book examines the consequences of misspecifications ranging from the fundamental to the nonexis...

Informace o knize

Autor

Halbert White

Jazyk

Angličtina

Vazba

Kniha - Pevná

Vydáno

1994

Stránek

396

EAN

9780521252805

ISBN

0521252806

Enbook ID

02025925

Vydavatel

Cambridge University Press

Hmotnost

641

Rozměry

157 x 236 x 30

Kompletní popis

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 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.

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Estimation, Inference and Specification Analysis

Informace o knize

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