Editorial Reviews
Book Description
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
Book Info
(Harcourt Science and Technology) Intended as a reference and as a textbook for professionals or students in econometrics. Covers large sample theory and the fundamental tools of asymptotic theory, as well as functional central limit theory.
Asymptotic Theory for Econometricians : Revised Edition (Economic Theory, Econometrics, and Mathematical Economics)
Asymptotic Theory for Econometricians : Revised Edition (Economic Theory, Econometrics, and Mathematical Economics),Halbert White,Academic Press,0127466525,Asymptotic theory,Business & Economics,Business / Economics / Finance,Business/Economics,Econometrics,Economics - Theory,Business & Economics / Econometrics
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