Large Deviations Theory and Econometric Information Recovery

Authored by: Grendár Marian , Judge George

Handbook of Empirical Economics and Finance

Print publication date:  December  2010
Online publication date:  April  2016

Print ISBN: 9781420070354
eBook ISBN: 9781420070361
Adobe ISBN:


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Econometricians rarely have at their disposal enough information to formulate a model in terms of a parametric family of distributions. Consequently, traditional methods of parametric estimation and inference that are based either on a likelihood or on a posterior distribution are prone to committing specification errors that lead to problems of inference. On the other hand, economic data are partial and incomplete and usually there is seldom a large enough data sample to rely on purely nonparametric methods.

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