Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later / Edition 1

by T. Fomby, R. Carter Hill

Overview

This volume is the result of an "Advances in Econometrics" conference held in November of 2002 at Louisiana State Universityin 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.

Product Details

ISBN-13:	9780762310753
Publisher:	Emerald Group Publishing Limited
Publication date:	12/12/2003
Series:	Advances in Econometrics , #17
Pages:	268
Product dimensions:	6.14(w) x 9.21(h) x 0.59(d)

Table of Contents

A comparative study of pure and pretest estimators for a possibly misspecified two-way error component model (B.H. Baltagi, G. Bresson, A. Pirotte). Tests of common deterministic trend slopes applied to quarterly global temperature data (T.B. Fomby, T.J. Vogelsang). The sandwich estimate of variance (J.W. Hardin). Test statistics and critical values in selectivity models (R.C. Hill, L.C. Adkins, K.A. Bender). Estimation, inference, and specification testing for possibly misspecified quantile regression (T.-H. Kim, H. White). Maximum likelihood estimation with bounded symmetric errors (D. Miller, J. Eales, P. Preckel). Consistent quasi-maximum likelihood estimation with limited information (D. Miller, S.-H. Lee). An examination of the sign and volatility switching ARCH models under alternative distributional assumptions (M.F. Omran, F. Avram). Estimating a linear exponential density when the weighting matrix and mean parameter vector are functionally related (C.-Y. Sin). Testing in GMM models without truncation (T.J. Vogelsang). Bayesian analysis of misspecified models with fixed effects (T. Woutersen).