# Estimation, inference, and specification analysis

@inproceedings{White1993EstimationIA, title={Estimation, inference, and specification analysis}, author={Halbert L. White}, year={1993} }

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…

## 823 Citations

The Large Sample Behaviour of the Generalized Method of Moments Estimator in Misspecified Models

- Mathematics, Economics
- 2003

Inference for Iterated GMM Under Misspecification

- Mathematics, Economics
- 2021

This paper develops inference methods for the iterated overidentified Generalized Method of Moments (GMM) estimator. We provide conditions for the existence of the iterated estimator and an…

Penalized Indirect Inference

- Economics, MathematicsJournal of Econometrics
- 2018

Parameter estimates of structural economic models are often difficult to interpret at the light of the underlying economic theory. Bayesian methods have become increasingly popular as a tool for…

On the Power of Bootstrapped Specification Tests

- Economics, Mathematics
- 2005

Abstract Decisions based on econometric model estimates may not have the expected effect if the model is misspecified. Thus, specification tests should precede any analysis. Bierens' specification…

Parameter Estimation With Out-of-Sample Objective

- Mathematics, Economics
- 2018

We study parameter estimation from the sample X, when the objective is to maximize the expected value of a criterion function, Q, for a distinct sample, Y. This is the situation that arises when a…

Testing for the mixture hypothesis of geometric distributions

- Mathematics
- 2009

Use of the likelihood ratio (LR) statistic is examined to test for the mixture assumption of geometric distributions. As the asymptotic null distribution of the LR statistic is not a standard…

Bootstrap Conditional Distribution Tests in the Presence of Dynamic Misspecification

- Mathematics, Economics
- 2003

In this paper, we show the first order validity of the block bootstrap in the context of Kolmogorov type conditional distribution tests when there is dynamic misspecification and parameter estimation…

An Information Theoretic Approach to Econometrics

- Economics
- 2011

This book is intended to provide the reader with a firm conceptual and empirical understanding of basic information-theoretic econometric models and methods. Because most data are observational,…

Specification Tests for Non-Gaussian Maximum Likelihood Estimators

- Economics, MathematicsQuantitative Economics
- 2021

We propose generalized DWH specification tests which simultaneously compare three or more likelihood‐based estimators in multivariate conditionally heteroskedastic dynamic regression models. Our…

Distributions of Maximum Likelihood Estimators and Model Comparisons

- MathematicsWorld Congress on Engineering
- 2007

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.