Maximum likelihood estimation of misspecified models

Prof. Gabriele Soffritti, Università di Bologna

  • Date:

    07 MARCH
    -
    16 MARCH 2018
     

  • Event location: Aula Seminari, 1st floor, Department of Statistical Science, Via Belle Arti 41, Bologna

  • Type: Cycle 33 - Mandatory Courses

Prof. Gabriele Soffritti

Week 5 - Wed 03/7 11:00-13:00 a.m. - Seminar Room 1st floor, Via Belle Arti 41
               Fri    03/9 11:00-13:00 a.m. - Seminar Room 1st floor, Via Belle Arti 41

Week 6 - Wed 03/14 11:00-13:00 a.m. - Seminar Room 1st floor, Via Belle Arti 41
               Fri    03/16 11:00-13:00 a.m. - Seminar Room 1st floor, Via Belle Arti 41

 

* Topics:

-       Statistical models. Model identification and (mis)specification.
-       Kullback-Leibler information and the quasi-maximum likelihood estimator.
-       Asymptotic properties of the quasi-maximum likelihood estimator.
-       Tests for misspecification based on the quasi-maximum likelihood estimation.


* References:

Maximum Likelihood Estimation of Misspecified Models, Halbert White, Econometrica, Vol. 50, No. 1. (Jan. 1982), pp. 1-25.