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Asymptotic Theory for Econometricians (Economic Theory, Econometrics, and Mathematical Economics) - Hardcover
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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.
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Synopsis
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.
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- PublisherAcademic Press Inc
- Publication date2000
- ISBN 10 0127466525
- ISBN 13 9780127466521
- BindingHardcover
- LanguageEnglish
- Edition number2
- Number of pages264
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Asymptotic Theory for Econometricians: Revised Edition (Economic Theory, Econometrics, and Mathematical Economics)
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Asymptotic Theory for Econometricians (Economic Theory, Econometrics, and Mathematical Economics)
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Emerald Publishing Limited, 2000
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ISBN 13: 9780127466521
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Buch. Condition: 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. Seller Inventory # 9780127466521
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Buch. Condition: 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. Seller Inventory # 9780127466521
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Asymptotic Theory for Econometricians
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