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Maximum Likelihood Estimation of Misspecified Models on Hardback
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Maximum Likelihood Estimation of Misspecified Models

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Description

This volume is the result of an "Advances in Econometrics" conference held in November of 2002 at Louisiana State University in recognition of Halbert White's pioneering work published in Econometrica in 1980 and 1982 on robust variance-covariance estimation and quasi-maximum likelihood estimation. It contains 11 papers on a range of related topics including the estimation of possibly misspecified error component and fixed effects panel models, estimation and inference in possibly misspecified quantile regression models, quasi-maximum likelihood estimation of linear regression models with bounded and symmetric errors and quasi-maximum likelihood estimation of models with parameter dependencies between the mean vector and error variance-covariance matrix. Other topics include GMM, HAC, Heckit, asymmetric GARCH, Cross-Entropy, and multivariate deterministic trend estimation and testing under various possible misspecifications.
Release date Australia
December 12th, 2003
Audience
  • Professional & Vocational
Contributors
  • Edited by R. Carter Hill
  • Edited by T. Fomby
Pages
268
Dimensions
156x234x15
ISBN-13
9780762310753
Product ID
2206411

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