Description

Book Synopsis

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.

Trade Review

'... 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

Table of Contents

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.

Estimation Inference and Specification Analysis

    Product form

    A Paperback by Halbert White

    £45.28

    Includes FREE delivery

    Order before 4pm today for delivery by Wed 25 Nov 2026.

    15 in stock

      Trusted by thousands of customers. See 2,385+ Customer Reviews

      View other formats and editions of Estimation Inference and Specification Analysis by Halbert White

      Book details

      Publisher Cambridge University Press
      Published 28 June 1996
      ISBN-13 9780521574464
      978-0521574464
      ISBN-10 0521574463
      Also in:
      Probability and statistics

      Description

      Book Synopsis

      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.

      Trade Review

      '... 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

      Table of Contents

      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.

      Recently viewed products

      © 2026 Book Curl

        • American Express
        • Apple Pay
        • Diners Club
        • Discover
        • Google Pay
        • Maestro
        • Mastercard
        • PayPal
        • Shop Pay
        • Union Pay
        • Visa

        Login

        Forgot your password?

        Don't have an account yet?
        Create account