Asymptotic Theory For Econometricians
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Asymptotic Theory For Econometricians
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Author : Halbert White
language : en
Publisher: Academic Press Incorporated
Release Date : 2001
Asymptotic Theory For Econometricians written by Halbert White and has been published by Academic Press Incorporated this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Business & Economics categories.
"The scope of the book remains the same as that of the First Edition, with sufficient material to fill a full year's course work. This edition also contains updated material on asymptotically efficient instrumental variables estimation, efficient estimation with estimated error covariance matrices, and efficient IV estimation. Exercise solutions have also been updated and expanded.".
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 : 1997-07-17
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 1997-07-17 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.
Asymptotic Theory Of Statistics And Probability
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Author : Anirban DasGupta
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-03-07
Asymptotic Theory Of Statistics And Probability written by Anirban DasGupta 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 2008-03-07 with Mathematics categories.
This unique book delivers an encyclopedic treatment of classic as well as contemporary large sample theory, dealing with both statistical problems and probabilistic issues and tools. The book is unique in its detailed coverage of fundamental topics. It is written in an extremely lucid style, with an emphasis on the conceptual discussion of the importance of a problem and the impact and relevance of the theorems. There is no other book in large sample theory that matches this book in coverage, exercises and examples, bibliography, and lucid conceptual discussion of issues and theorems.
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.
Asymptotic Statistics
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Author : A. W. van der Vaart
language : en
Publisher: Cambridge University Press
Release Date : 2000-06-19
Asymptotic Statistics written by A. W. van der Vaart 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 2000-06-19 with Mathematics categories.
This book is an introduction to the field of asymptotic statistics. The treatment is both practical and mathematically rigorous. In addition to most of the standard topics of an asymptotics course, including likelihood inference, M-estimation, the theory of asymptotic efficiency, U-statistics, and rank procedures, the book also presents recent research topics such as semiparametric models, the bootstrap, and empirical processes and their applications. The topics are organized from the central idea of approximation by limit experiments, which gives the book one of its unifying themes. This entails mainly the local approximation of the classical i.i.d. set up with smooth parameters by location experiments involving a single, normally distributed observation. Thus, even the standard subjects of asymptotic statistics are presented in a novel way. Suitable as a graduate or Master's level statistics text, this book will also give researchers an overview of research in asymptotic statistics.
Econometric Theory And Practice
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Author : P. C. B. Phillips
language : en
Publisher: Cambridge University Press
Release Date : 2006-01-09
Econometric Theory And Practice written by P. C. B. 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 2006-01-09 with Business & Economics categories.
The essays in this book explore important theoretical and applied advances in econometrics.
Asymptotic Theory Of Weakly Dependent Random Processes
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Author : Emmanuel Rio
language : en
Publisher: Springer
Release Date : 2017-04-13
Asymptotic Theory Of Weakly Dependent Random Processes written by Emmanuel Rio and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-04-13 with Mathematics categories.
Ces notes sont consacrées aux inégalités et aux théorèmes limites classiques pour les suites de variables aléatoires absolument régulières ou fortement mélangeantes au sens de Rosenblatt. Le but poursuivi est de donner des outils techniques pour l'étude des processus faiblement dépendants aux statisticiens ou aux probabilistes travaillant sur ces processus.
Stochastic Limit Theory
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Author : James Davidson
language : en
Publisher: Oxford University Press
Release Date : 1994
Stochastic Limit Theory written by James Davidson and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Business & Economics categories.
Provides a coherent account of recent contributions to limit theory, with particular emphasis on the issues of date dependence and heterogeneity. The book also provides a grounding in the requisite mathematics and probability theory.
Probability And Statistics For Economists
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Author : Bruce Hansen
language : en
Publisher: Princeton University Press
Release Date : 2022-08-16
Probability And Statistics For Economists written by Bruce Hansen and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-08-16 with Business & Economics categories.
A comprehensive and up-to-date introduction to the mathematics that all economics students need to know Probability theory is the quantitative language used to handle uncertainty and is the foundation of modern statistics. Probability and Statistics for Economists provides graduate and PhD students with an essential introduction to mathematical probability and statistical theory, which are the basis of the methods used in econometrics. This incisive textbook teaches fundamental concepts, emphasizes modern, real-world applications, and gives students an intuitive understanding of the mathematics that every economist needs to know. Covers probability and statistics with mathematical rigor while emphasizing intuitive explanations that are accessible to economics students of all backgroundsDiscusses random variables, parametric and multivariate distributions, sampling, the law of large numbers, central limit theory, maximum likelihood estimation, numerical optimization, hypothesis testing, and moreFeatures hundreds of exercises that enable students to learn by doingIncludes an in-depth appendix summarizing important mathematical results as well as a wealth of real-world examplesCan serve as a core textbook for a first-semester PhD course in econometrics and as a companion book to Bruce E. Hansen’s EconometricsAlso an invaluable reference for researchers and practitioners