Asymptotic Theory For Econometricians
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Asymptotic Theory For Econometricians
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Author : Halbert White
language : en
Publisher: Academic Press
Release Date : 2014-06-28
Asymptotic Theory For Econometricians written by Halbert White and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-28 with Business & Economics categories.
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.
Dynamic Nonlinear Econometric Models
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Author : Benedikt M. Pötscher
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Dynamic Nonlinear Econometric Models written by Benedikt M. Pötscher and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Business & Economics categories.
Many relationships in economics, and also in other fields, are both dynamic and nonlinear. A major advance in econometrics over the last fifteen years has been the development of a theory of estimation and inference for dy namic nonlinear models. This advance was accompanied by improvements in computer technology that facilitate the practical implementation of such estimation methods. In two articles in Econometric Reviews, i.e., Pötscher and Prucha {1991a,b), we provided -an expository discussion of the basic structure of the asymptotic theory of M-estimators in dynamic nonlinear models and a review of the literature up to the beginning of this decade. Among others, the class of M-estimators contains least mean distance estimators (includ ing maximum likelihood estimators) and generalized method of moment estimators. The present book expands and revises the discussion in those articles. It is geared towards the professional econometrician or statistician. Besides reviewing the literature we also presented in the above men tioned articles a number of then new results. One example is a consis tency result for the case where the identifiable uniqueness condition fails.
Robust Methods And Asymptotic Theory In Nonlinear Econometrics
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Author : H. J. Bierens
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Robust Methods And Asymptotic Theory In Nonlinear Econometrics written by H. J. Bierens and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
This Lecture Note deals with asymptotic properties, i.e. weak and strong consistency and asymptotic normality, of parameter estimators of nonlinear regression models and nonlinear structural equations under various assumptions on the distribution of the data. The estimation methods involved are nonlinear least squares estimation (NLLSE), nonlinear robust M-estimation (NLRME) and non linear weighted robust M-estimation (NLWRME) for the regression case and nonlinear two-stage least squares estimation (NL2SLSE) and a new method called minimum information estimation (MIE) for the case of structural equations. The asymptotic properties of the NLLSE and the two robust M-estimation methods are derived from further elaborations of results of Jennrich. Special attention is payed to the comparison of the asymptotic efficiency of NLLSE and NLRME. It is shown that if the tails of the error distribution are fatter than those of the normal distribution NLRME is more efficient than NLLSE. The NLWRME method is appropriate if the distributions of both the errors and the regressors have fat tails. This study also improves and extends the NL2SLSE theory of Amemiya. The method involved is a variant of the instrumental variables method, requiring at least as many instrumental variables as parameters to be estimated. The new MIE method requires less instrumental variables. Asymptotic normality can be derived by employing only one instrumental variable and consistency can even be proved with out using any instrumental variables at all.
Econometric Theory
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Author : James Davidson
language : en
Publisher: Wiley-Blackwell
Release Date : 2000-04-07
Econometric Theory written by James Davidson and has been published by Wiley-Blackwell this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-04-07 with Business & Economics categories.
This book surveys recent developments in the rapidly expanding field of asymptotic distribution theory, placing special emphasis on the problems of time-dependence and heterogeneity. It is technically self-contained, with all but the most basic mathematical prerequisites being explained in their context.
Statistics And Econometric Models
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Author : Christian Gourieroux (professeur d'économie).)
language : en
Publisher:
Release Date : 1995
Statistics And Econometric Models written by Christian Gourieroux (professeur d'économie).) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with categories.
Nonparametric And Semiparametric Methods In Econometrics And Statistics
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Author : William A. Barnett
language : en
Publisher: Cambridge University Press
Release Date : 1991-06-28
Nonparametric And Semiparametric Methods In Econometrics And Statistics written by William A. Barnett and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991-06-28 with Business & Economics categories.
Papers from a 1988 symposium on the estimation and testing of models that impose relatively weak restrictions on the stochastic behaviour of data.
The Refinement Of Econometric Estimation And Test Procedures
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Author : Garry D. A. Phillips
language : en
Publisher: Cambridge University Press
Release Date : 2007-02-01
The Refinement Of Econometric Estimation And Test Procedures written by Garry D. A. Phillips and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-02-01 with Business & Economics categories.
The small sample properties of estimators and tests are frequently too complex to be useful or are unknown. Much econometric theory is therefore developed for very large or asymptotic samples where it is assumed that the behaviour of estimators and tests will adequately represent their properties in small samples. Refined asymptotic methods adopt an intermediate position by providing improved approximations to small sample behaviour using asymptotic expansions. Dedicated to the memory of Michael Magdalinos, whose work is a major contribution to this area, this book contains chapters directly concerned with refined asymptotic methods. In addition, there are chapters focusing on new asymptotic results; the exploration through simulation of the small sample behaviour of estimators and tests in panel data models; and improvements in methodology. With contributions from leading econometricians, this collection will be essential reading for researchers and graduate students concerned with the use of asymptotic methods in econometric analysis.
Essays In Honor Of Joon Y Park
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Author : Yoosoon Chang
language : en
Publisher: Emerald Group Publishing
Release Date : 2023-04-24
Essays In Honor Of Joon Y Park written by Yoosoon Chang and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-04-24 with Business & Economics categories.
Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.
Stochastic Limit Theory
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Author : James Davidson
language : en
Publisher:
Release Date : 1994
Stochastic Limit Theory written by James Davidson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with categories.
Methods For Estimation And Inference In Modern Econometrics
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Author : Stanislav Anatolyev
language : en
Publisher: CRC Press
Release Date : 2011-06-07
Methods For Estimation And Inference In Modern Econometrics written by Stanislav Anatolyev and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-07 with Business & Economics categories.
This book covers important topics in econometrics. It discusses methods for efficient estimation in models defined by unconditional and conditional moment restrictions, inference in misspecified models, generalized empirical likelihood estimators, and alternative asymptotic approximations. The first chapter provides a general overview of established nonparametric and parametric approaches to estimation and conventional frameworks for statistical inference. The next several chapters focus on the estimation of models based on moment restrictions implied by economic theory. The final chapters cover nonconventional asymptotic tools that lead to improved finite-sample inference.