Asymptotic Theory for Econometricians - Rilegato

White, Halbert

Rilegato

ISBN 10: 0127466525 ISBN 13: 9780127466521

Casa editrice: Emerald Group Pub Ltd, 2000

Riassunto

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. It includes completely revised chapter seven on functional central limit theory and its applications, specifically unit root regression, spurious regression, and regression with cointegrated processes. It includes updated material on: central limit theory; asymptotically efficient instrumental variables estimation; estimation of asymptotic covariance matrices; efficient estimation with estimated error covariance matrices; and efficient IV estimation.

Su questo libro

Contenuti

The Linear Model and Instrumental Variables Estimators.
Consistency.
Laws of Large Numbers.
Asymptotic Normality.
Central Limit Theory.
Estimating Asymptotic Covariance Matrices.
Functional Central Limit Theory and Applications.
Directions for Further Study.
Solution Set.
References.
Index.

Dettagli dell'edizione

• Editore: Emerald Group Pub Ltd
• Data di pubblicazione: 2000
• Lingua: Inglese
• ISBN 10: 0127466525
• ISBN 13: 9780127466521
• Rilegatura: Copertina rigida
• Numero di pagine: 264
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile