Asymptotic Theory for Econometricians (Economic Theory, Econometrics, and Mathematical Economics) - Hardcover

Book 29 of 31: ECONOMIC THEORY, ECONOMETRICS, AND MATHEMATICAL ECONOMICS

White, Halbert

 
9780127466521: Asymptotic Theory for Econometricians (Economic Theory, Econometrics, and Mathematical Economics)
Hardcover
ISBN 10: 0127466525 ISBN 13: 9780127466521
Publisher: Academic Press Inc, 2000

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.

"synopsis" may belong to another edition of this title.

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.

"About this title" may belong to another edition of this title.

Publisher
Academic Press Inc
Publication date
2000
Language
English
ISBN 10 
0127466525
ISBN 13 
9780127466521
Binding
Hardcover
Edition number
2
Number of pages
264

Other Popular Editions of the Same Title

9781493308644: Asymptotic Theory for Econometricians

Featured Edition

ISBN 10:  1493308645 ISBN 13:  9781493308644
Publisher: Academic Press, 2014
Softcover