Estimation, Inference and Specification Analysis |
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| Author:
| White, Halbert |
| Series title: | Econometric Society Monographs |
| ISBN: | 978-1-139-05223-8 |
| Publication Date: | Jan 2013 |
| Publisher: | Cambridge University Press
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| Book Format: | Digital download and online |
| List Price: | AUD $270.00 |
Book Description:
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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 explores the underlying motivation for maximum-likelihood estimation and examines methods by which the possibility of misspecification can be empirically investigated, and offers a variety of tests for misspecification.
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 explores the underlying motivation for maximum-likelihood estimation and examines methods by which the possibility of misspecification can be empirically investigated, and offers a variety of tests for misspecification.