Maximum Likelihood Estimation of Misspecified Dynamic Models

Halbert White

doi:10.1007/978-3-642-95461-0_1

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Maximum Likelihood Estimation of Misspecified Dynamic Models

Halbert White

Year: 1984 Lecture notes in economics and mathematical systems Pages: 1-19 Publisher: Springer Science+Business Media

DOI: 10.1007/978-3-642-95461-0_1

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Keywords:

Estimator Mathematics Consistency (knowledge bases) Asymptotic distribution Maximum likelihood Quasi-maximum likelihood Strong consistency Applied mathematics Covariance Econometrics Maximum likelihood sequence estimation Estimation theory Covariance matrix Statistics Likelihood function

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Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Complex Systems and Time Series Analysis

Social Sciences → Economics, Econometrics and Finance → Economics and Econometrics

Maximum Likelihood Estimation of Misspecified Dynamic Models

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