Maximum Likelihood Estimation of Misspecified Models

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.

ISBN 0762310758   Volumes 1 ISBN13 9780762310753 (What's this?)   Weight (grammes) 553 Publisher Emerald Group Publishing Limited   Published in Bingley Imprint JAI Press Inc.   Series ISSN 0731-905 Format Hardback   Series title Advances in Econometrics Publication date 12 Dec 2003   Height (mm) 156 Library of Congress 2004300128   Width (mm) 234 DEWEY 330.015195   Spine width (mm) 15 DEWEY edition DC21   Academic level Professional / Scholarly Pages 268

		List of Contributors
		Introduction by Thomas B. Fomby and Carter Hill
		A Comparative Study of Pure and Pretest Estimators for a Possibly Misspecified Two-Way Error Component Model by Badi H. Baltagi and Georges Bresson and Alain Pirotte		1
		Tests of Common Deterministic Trend Slopes Applied to Quarterly Global Temperature Data by Thomas B. Fomby and Timothy J. Vogelsang		29
		The Sandwich Estimate of Variance by James W. Hardin		45
		Test Statistics and Critical Values in Selectivity Models by R. Carter Hill and Lee C. Adkins and Keith A. Bender		75
		Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression by Tae-Hwan Kim and Halbert White		107
		Quasi-Maximum Likelihood Estimation with Bounded Symmetric Errors by Douglas Miller and James Eales and Paul Precket		133
		Consistent Quasi-Maximum Likelihood Estimation with Limited Information by Douglas Miller and Sang-Hak Lee		149
		An Examination of the Sign and Volatility Switching Arch Models Under Alternative Distributional Assumptions by Mohamed F. Omran and Florin Avram		165
		Estimating a Linear Exponential Density When the Weighting Matrix and Mean Parameter Vector are Functionally Related by Chor-yiu Sin		177
		Testing in GMM Models Without Truncation by Timothy J. Vogelsang		199
		Bayesian Analysis of Misspecified Models with Fixed Effects by Tiemen Woutersen		235

...Eleven papers focus on maximum likelihood estimation in the presence of misspecified models, or quasi-maximum likelihood estimation, and recognize Halbert White's pioneering work on the topic beginning in 1982. Journal of Economic Literature, 2004

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