MAXIMUM LIKELIHOOD ESTIMATION OF MISSPECIFIED MODELS by T. Fomby (Editor), R. Carter Hill (Editor) ( 9781849502535 )

Item Details

Title:

MAXIMUM LIKELIHOOD ESTIMATION OF MISSPECIFIED MODELS
TWENTY YEARS LATER

By:

T. Fomby (Editor), R. Carter Hill (Editor)

Format:

Electronic book text

List price:	£75.99
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ISBN 10:

1849502536

ISBN 13:

9781849502535

Publisher:

EMERALD PUBLISHING LIMITED

Pub. date:

12 December, 2003

Series:

Advances in Econometrics 17

Pages:

268

Description:

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, and quasi-maximum likelihood estimation of linear regression models with bounded and symmetric errors.

Synopsis:

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.

Publication:

Imprint:

Emerald Group Publishing Limited

Returns:

Non-returnable

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ADVANCES IN ECONOMETRICS (HB)