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The New Palgrave : utility and probability
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ISBN: 0333495403 0333495411 Year: 1990 Publisher: London : Macmillan,

Estimation, inference, and specification analysis
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ISBN: 0521252806 0521574463 1139052233 9780521252805 Year: 1994 Volume: no. 22 Publisher: Cambridge : Cambridge University Press,

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Abstract

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.


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The logit model : an introduction for economists
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ISBN: 0340541113 9780340541111 Year: 1991 Publisher: London : Edward Arnold,

Advances in econometrics : Fifth World Congress.
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ISBN: 0521344301 0521345529 0521467268 052146725X 1139052063 1139052071 9780521345521 9780521344302 9780521467261 9780521467254 9781139052061 Year: 1987 Volume: 13-14 Publisher: Cambridge : Cambridge University Press,

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The Econometric Society holds a World Congress every five years. The programme of these congresses has traditionally included a series of invited symposia, where speakers survey important recent advances in economic theory and econometrics. These two volumes, with their focus on econometrics, and their companion volume on economic theory, contain papers delivered at the Fifth World Congress held in 1985. Designed to make material accessible to a general audience of economists, these papers should be helpful to anyone with training in economics who wishes to follow ideas and tendencies in the subject. Advances in Econometrics: Fifth World Congress, Volumes I and II, edited by Professor Truman F. Bewley of Yale University, include a wide variety of topics, comprising empirical and policy oriented subjects as well as theoretical and methodological ones.

Microeconometrics : methods and applications
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ISBN: 0521848059 9780521848053 1107386128 0511125534 0511124953 0511567898 0511811241 1280202963 0511198582 051112581X Year: 2005 Publisher: Cambridge : Cambridge University Press,

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This book provides the most comprehensive treatment to date of microeconometrics, the analysis of individual-level data on the economic behavior of individuals or firms using regression methods for cross section and panel data. The book is oriented to the practitioner. A basic understanding of the linear regression model with matrix algebra is assumed. The text can be used for a microeconometrics course, typically a second-year economics PhD course; for data-oriented applied microeconometrics field courses; and as a reference work for graduate students and applied researchers who wish to fill in gaps in their toolkit. Distinguishing features of the book include emphasis on nonlinear models and robust inference, simulation-based estimation, and problems of complex survey data. The book makes frequent use of numerical examples based on generated data to illustrate the key models and methods. More substantially, it systematically integrates into the text empirical illustrations based on seven large and exceptionally rich data sets.

Co-integration, error correction, and the econometric analysis of non-stationary data
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ISBN: 0198288107 0198287003 0191595896 9786612052330 0191521582 1282052330 9780191521584 9780198288107 9780198287001 Year: 1993 Publisher: New York ; Oxford : Oxford University Press,

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Considering the econometric analysis of both stationary and non-stationary processes, which may be linked by equilibrium relationships, this text provides a wide-ranging account of the main tools, techniques, models, concepts, and distributions involved in the modelling of integrated processes.

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