COVID-19 Response at

Read what we're doing...

Estimation, Inference and Specification Analysis


Product Description
Product Details

Table of Contents

1. Introductory remarks; 2. Probability densities, likelihood functions and the quasi-maximum likelihood estimator; 3. Consistency of the QMLE; 4. Correctly specified models of density; 5. Correctly specified models of conditional expectation; 6. The asymptotic distribution of the QMLE and the information matrix equality; 7. Asymptotic efficiency; 8. Hypothesis testing and asymptotic covariance matrix estimation; 9. Specification testing via m-tests; 10. Applications of m-testing; 11. Information matrix testing; 12. Conclusion; Appendix 1. Elementary concepts of measure theory and the Radon-Nikodym theorem; Appendix 2. Uniform laws of large numbers; Appendix 3. Central limit theorems.

Promotional Information

This book examines the consequences of misspecifications from the fundamental to the nonexistent for the interpretation of likelihood-based methods of statistical estimation and interference.


'... contains much material of interest to econometricians ... a useful source book for researchers, instructors and graduate students and essential reading for those interested in the effects of misspecification.' Econometric Theory '... a very good book on the theory of mis-specification ... thoroughly recommended to advanced graduate students in econometrics.'

Ask a Question About this Product More...
Write your question below:
Look for similar items by category
Home » Books » Business » Economics » Theory
People also searched for
How Fishpond Works
Fishpond works with suppliers all over the world to bring you a huge selection of products, really great prices, and delivery included on over 25 million products that we sell. We do our best every day to make Fishpond an awesome place for customers to shop and get what they want — all at the best prices online.
Webmasters, Bloggers & Website Owners
You can earn a 5% commission by selling Estimation, Inference and Specification Analysis (Econometric Society Monographs) on your website. It's easy to get started - we will give you example code. After you're set-up, your website can earn you money while you work, play or even sleep! You should start right now!
Authors / Publishers
Are you the Author or Publisher of a book? Or the manufacturer of one of the millions of products that we sell. You can improve sales and grow your revenue by submitting additional information on this title. The better the information we have about a product, the more we will sell!
Item ships from and is sold by Fishpond Retail Limited.
Back to top