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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.

Estimation, Inference Specification: 22 (Econometric Society Monographs) ebooks

Estimation, inference and specification analysis, by H ~ Read "Estimation, inference and specification analysis, by H. White. Econometric Society Monographs No. 22, Cambridge University Press, 1994, pp. x+380. ISBN 0‐521‐25280‐6; Price £30 (hardback), Journal of Applied Econometrics" on DeepDyve, the largest online rental service for scholarly research with thousands of academic publications available at your fingertips.

Estimation, Inference and Specification Analysis ~ Books; Estimation, Inference and Specification Analysis; Estimation, Inference and . Econometric Society Monographs (22) Export citation . Note you can select to send to either the @free.kindle or @kindle variations. ‘@free.kindle’ emails are free but can only be sent to your device when it is connected to .

Estimation, inference and specification analysis, by H ~ Journal of Applied Econometrics. Volume 10, Issue 4. Book Review. Estimation, inference and specification analysis, by H. White. Econometric Society Monographs No. 22, Cambridge University Press, 1994, pp. x+380. ISBN 0‐521‐25280‐6; Price £30 .

Estimation, inference, and specification analysis (Book ~ Estimation, inference, and specification analysis. . "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 . Econometric Society monographs, no. 22. Responsibility: Halbert White. More information: Table of .

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Econometric Society Monographs - Cambridge Core ~ The Econometric Society Monographs series is designed to promote the publication of original research contributions of high quality in economic theory and theoretical and applied econometrics. The editors of the Monographs series now welcome focused manuscripts of 100 to 150 pages that treat or survey cutting-edge or perennially important topics.

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Econometric Model Specification - World Scientific ~ Econometric Model Specification reviews and extends the author's papers on consistent model specification testing and semi-nonparametric modeling and inference. This book consists of two parts. The first part discusses consistent tests of functional form of regression and conditional distribution models, including a consistent test of the martingale difference hypothesis for time series .

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Estimation, Inference and Specification Analysis by ~ Estimation, Inference and Specification Analysis available in Hardcover, Paperback. Add to Wishlist. ISBN-10: 0521574463 . Econometric Society Monographs, #22: Edition description: Reprint: Pages: 396: . The book should prove to be a useful reference book for econometric theorists.

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Asymptotic Theory for Econometricians: Revised Edition ~ This is an excellent book for a theoretical econometrician. A little bad point about this book: it is a bid old because you won't find a lot of theorems for the most modern econometric results; the unit root theory is only presented for some pages and this book does not cover anything about other important new concepts in theoretical econometrics like long memory, VAR and so on.

Econometric Analysis, Transitn Data (Econometric Society ~ The book next deals with likelihood based inference about such models, with sections on full and semiparametric specification. A final section treats graphical and numerical methods of specification testing. This is the first published exposition of current econometric methods for the study of duration data.

Autoregressive Distributed Lag (ARDL) cointegration ~ classical estimation of variables with this relationship most times gives misleading inferences or spurious regression. To overcome this problem of nonstationarity and prior restrictions on the lag - structure of a model, econometric analysis of time series data has increasingly moved towards the issue of cointegration.