Asymptotic Theory for Econometricians
Halbert White
ISBN 10: 0127466525 ISBN 13: 9780127466521
Editore: Emerald Group Publishing Limited, 2000
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Descrizione:
An econometric estimator is a solution to an optimization problem. This book provides the tools and concepts necessary to study the behavior of econometric estimators and test statistics in large samples. Series: Economic Theory, Econometrics, and Mathematical Economics. Num Pages: 264 pages. BIC Classification: KCH. Category: (P) Professional & Vocational. Dimension: 238 x 162 x 22. Weight in Grams: 518. . 2000. Revised ed. Hardcover. . . . . Codice articolo V9780127466521
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.
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.
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Titolo: Asymptotic Theory for Econometricians
Casa editrice: Emerald Group Publishing Limited
Data di pubblicazione: 2000
Legatura: Rilegato
Condizione: New
Edizione: seconda edizione
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Asymptotic Theory for Econometricians
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Academic Press Inc Okt 2000, 2000
ISBN 10: 0127466525
ISBN 13: 9780127466521
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Buch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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 280 pp. Englisch. Codice articolo 9780127466521
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Asymptotic Theory for Econometricians (Economic Theory, Econometrics, and Mathematical Economics)
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Emerald Publishing Limited, 2000
ISBN 10: 0127466525
ISBN 13: 9780127466521
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Buch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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. Codice articolo 9780127466521
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Asymptotic Theory for Econometricians: Revised Edition
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Asymptotic Theory for Econometricians (Economic Theory, Econometrics, and Mathematical Economics)
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Asymptotic Theory for Econometricians
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ISBN 10: 0127466525
ISBN 13: 9780127466521
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