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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.

Quantitative methods (economics) --- Econometric models. --- Modèles économétriques --- Econometric models --- 330.115.001.57 --- 330.015195 --- Econometrics --- Mathematical models --- Econometrische modellen. Simulatiemodellen --- 330.115.001.57 Econometrische modellen. Simulatiemodellen --- Modèles économétriques --- Business, Economy and Management --- Economics

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"Since the publication of his first book, Analysis of Financial Time Series, Ruey Tsay has become one of the most influential and prominent experts on the topic of time series. Different from the traditional and oftentimes complex approach to multivariate (MV) time series, this sequel book emphasizes structural specification, which results in simplified parsimonious VARMA modeling and, hence, eases comprehension. Through a fundamental balance between theory and applications, the book supplies readers with an accessible approach to financial econometric models and their applications to real-world empirical research. The book utilizes the freely available R software package to explore complex data and illustrate related computation and analyses in a user-friendly way. An author-maintained website features additional data sets in R, Matlab and Stata scripts so readers can create their own simulations and test their comprehension of the presented techniques"--

Mathematical statistics --- Time-series analysis --- R (Computer program language) --- Econometric models --- AA / International- internationaal --- 304.0 --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen. --- Time series analysis. --- Econometric models. --- Série chronologique --- R (Langage de programmation) --- Modèles économétriques --- Programming --- Analysis of time series --- GNU-S (Computer program language) --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen --- Autocorrelation (Statistics) --- Harmonic analysis --- Probabilities --- Domain-specific programming languages --- Econometrics --- Mathematical models

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Quantitative methods (economics) --- Analyse économique --- Econometric models --- Econometrics --- Econometrie --- Econometrische modellen --- Econométrie --- Modèles économiques --- Modèles économétriques --- Statistique économique --- Économétrie--Modèles mathématiques --- Econometric models. --- Econometrics. --- 330.115 --- AA / International- internationaal --- 303.8 --- Mathematical models --- Econometrische behandeling van een onderwerp. --- 330.115 Econometrie --- Economics, Mathematical --- Statistics --- Econometrische behandeling van een onderwerp --- Économétrie

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This book presents statistical methods for analysis of the duration of events. The primary focus is on models for single-spell data, events in which individual agents are observed for a single duration. Some attention is also given to multiple-spell data. The first part of the book covers model specification, including both structural and reduced form models and models with and without neglected heterogeneity. The book next deals with likelihood based inference about such models, with sections on full and semiparametric specification. A final section treats graphical and numerical methods of specification testing. This is the first published exposition of current econometric methods for the study of duration data.

330.115.001.57 --- 330.115.001.57 Econometrische modellen. Simulatiemodellen --- Econometrische modellen. Simulatiemodellen --- Econometrics --- econometrie --- wiskundige statistiek --- 331.5 --- Economics, Mathematical --- Statistics --- 331.5 Arbeidsmarkt. Werkgelegenheid --(algemeen) --- Arbeidsmarkt. Werkgelegenheid --(algemeen) --- Labour market --- Quantitative methods (economics) --- Econometrics. --- Econométrie --- Business, Economy and Management --- Economics --- ECONOMETRIE --- DURATION --- MARCHE DU TRAVAIL --- MODELES ECONOMETRIQUES --- ECONOMIE DU TRAVAIL

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Modeles econometriques --- Econometrics. --- 330.115 --- 330.115 Econometrie --- Econometrie --- Mathematical statistics --- Quantitative methods (economics) --- Econometric models --- Modèles économétriques --- AA / International- internationaal --- 305.970 --- 305.971 --- 303.0 --- 305.0 --- 330.015195 --- Econometrics --- Mathematical models --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots. --- Speciale gevallen in econometrische modelbouw. --- Statistische technieken in econometrie. Wiskundige statistiek (algemene werken en handboeken). --- Toegepaste econometrie en statistiek (algemene naslagwerken). Statistische onderzoekingen en studiën. --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots --- Speciale gevallen in econometrische modelbouw --- Statistische technieken in econometrie. Wiskundige statistiek (algemene werken en handboeken) --- Toegepaste econometrie en statistiek (algemene naslagwerken). Statistische onderzoekingen en studiën --- Modèles économétriques