Estimation, Inference and Specification Analysis: Conclusion
Estimation, Inference and Specification Analysis: Conclusion
复制标题
估计、推理和规范分析：结论
DOI：
--
复制
发表时间：
1993
期刊：
影响因子：
--
通讯作者：
H. White
中科院分区：
文献类型：
--
作者：
H. White
这本书检查了从根本到不存在的错误规范的后果，用于解释基于可能性的统计估计和干扰方法。白色教授首先探讨了最大似然估计的基本动机，对待错误指定的概率模型的最大似然估计（MLE）的解释，并给出了条件下，感兴趣的参数可以一致地估计，尽管错误指定，和错误指定的后果，假设检验估计的渐近协方差矩阵的参数。虽然书中提出的理论是由计量经济学问题驱动的，但它的适用性绝不限于经济学。根据定义的限制，该理论适用于任何使用近似模型进行统计分析的科学背景。
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.