Asymptotic Theory for Econometricians - Couverture rigide

White, Halbert

Couverture rigide

ISBN 10 : 0127466509 ISBN 13 : 9780127466507

Editeur : Academic Press Inc, 1984

Synopsis

This book is intended to provide a somewhat more comprehensive and unified treatment of large sample theory than has been available previously and to relate the fundamental tools of asymptotic theory directly to many of the estimators of interest to econometricians. In addition, because economic data are generated in a variety of different contexts (time series, cross sections, time series--cross sections), we pay particular attention to the similarities and differences in the techniques appropriate to each of these contexts.

A propos du livre

Présentation de l'éditeur

This book provides the tools and concepts necessary to study the behavior of econometric estimators and test statistics in large samples. An econometric estimator is a solution to an optimization problem; that is, a problem that requires a body of techniques to determine a specific solution in a defined set of possible alternatives that best satisfies a selected object function or set of constraints. Thus, this highly mathematical book investigates situations concerning large numbers, in which the assumptions of the classical linear model fail. Economists, of course, face these situations often.

Key Features
* Completely revised Chapter Seven on functional central limit theory and its applications, specifically unit root regression, spurious regression, and regression with cointegrated processes
* Updated material on:
* Central limit theory
* Asymptotically efficient instrumental variables estimation
* Estimation of asymptotic covariance matrices
* Efficient estimation with estimated error covariance matrices
* Efficient IV estimation

Détails de l'édition

• Éditeur: Academic Press Inc
• Date d'édition: 1984
• ISBN 10: 0127466509
• ISBN 13: 9780127466507
• Reliure: Relié
• Langue: anglais
• Nombre de pages: 288