Estimation, inference, and specification analysis

@inproceedings{White1993EstimationIA,
  title={Estimation, inference, and specification analysis},
  author={Halbert L. White},
  year={1993}
}
  • H. White
  • Published 1 September 1996
  • Economics
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… 
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  • P. Hingley
  • Mathematics
    World Congress on Engineering
  • 2007
TLDR
If the model is known, simulations, normal approximations and p*‐formula methods can be used, however, exact analytic methods for describing the estimator density are recommended.
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