Stochastic Limit Theory: An Introduction for Econometricicans (Advanced Texts in Econometrics)

Davidson, James

ISBN 10: 0198774028 / ISBN 13: 9780198774020

Published by Oxford University Press, 1994

About this Item

Your purchase helps support Sri Lankan Children's Charity 'The Rainbow Centre'. Ex-library, so some stamps and wear, but in good overall condition. Our donations to The Rainbow Centre have helped provide an education and a safe haven to hundreds of children who live in appalling conditions. Seller Inventory # Z1-J-006-01896

Bibliographic Details

Title: Stochastic Limit Theory: An Introduction for...

Publisher: Oxford University Press

Publication Date: 1994

Binding: Hardcover

Condition: Good

About this title

Synopsis:

A handbook and reference for academic econometricians and advanced graduate students. The book provides a coherent account of recent contributions to limit theory, with particular emphasis on the issues of date dependence and heterogeneity. It also provides a grounding in the requisite mathematics and probability theory, which will allow readers with limited mathematical training to make use of the material.

Review:

The book is clearly written with plenty of explanation in the text as well as the liberal use of well chosen examples ... in a short book every econometrician shoudl have on their shelves. (The Economic Journal)

He provides us with a very complete book that presents all the recent mainstream results used by econometricians in the asymptotic analysis of test statistics based on time series ... Professor Davidson's book will be very useful for all the people who are looking for a detailed introduction to stochastic limit theorems as it collects almost all the mathematical notions on which relies the today classical framework used to derive these asymptotic results ... impressive work done by Professor Davidson. He provides us with a remarkable book. Properly used, it will become a reference course text. And similarly, researchers will be pleased to have it at hand on their shelves to find rapidly references, definitions or proof technics. (Economic Theory)

It is no mean achievement to combine articulately the mathematics, probability, and statistics backgrounds ... into a unified framework capable of dealing with the nonlinearities and nonstationarities commonly found in econometrics. The book is clearly written with plenty of explanation in the text as well as the liberal use of well chosen examples ... a book every econometrician should have on their shelves. (The Economic Journal)