โ Scribed by T. Fomby & R. Carter Hill (Editors)
No coin nor oath required. For personal study only.
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.
Cover
......Page 1
Title
......Page 2
Copyright Page
......Page 4
Contents
......Page 5
List of Contributors
......Page 7
Introduction
......Page 9
A Comparative Study of Pure and Pretest Estimators for a Possibly Misspecified Two-Way Error Component Model
......Page 14
Tests of Common Deterministic Trend Slopes Applied to Quarterly Global Temperature Data
......Page 42
The Sandwich Estimate of Variance......Page 57
Test Statistics and Critical Values in Selectivity Models......Page 86
Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression......Page 117
QuasiโMaximum Likelihood Estimation with Bounded Symmetric Errors......Page 143
Consistent Quasi-Maximum Likelihood Estimation with Limited Information......Page 159
An Examination of the Sign and Volatility Switching ARCH Models under Alternative Distributional Assumptions......Page 175
Estimating a Linear Exponential Density when the Weighting Matrix and Mean Parameter Vector are Functionally Related......Page 187
Testing in Gmm Models without Truncation......Page 208
Bayesian Analysis of Misspecified Models with Fixed Effects......Page 243
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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.
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