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Asymptotic Theory for Econometricians : Economic Theory, Econometrics, and Mathematical Economics - Halbert White

Asymptotic Theory for Econometricians

Economic Theory, Econometrics, and Mathematical Economics

Hardcover Published: 11th October 2000
ISBN: 9780127466521
Number Of Pages: 264

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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.
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

Preface to the First Editionp. ix
Preface to the Revised Editionp. xi
Referencesp. xiii
The Linear Model and Instrumental Variables Estimatorsp. 1
Referencesp. 12
For Further Readingp. 12
Consistencyp. 15
Limitsp. 15
Almost Sure Convergencep. 18
Convergence in Probabilityp. 24
Convergence in rth Meanp. 28
Referencesp. 30
Laws of Large Numbersp. 31
Independent Identically Distributed Observationsp. 32
Independent Heterogeneously Distributed Observationsp. 35
Dependent Identically Distributed Observationsp. 39
Dependent Heterogeneously Distributed Observationsp. 46
Martingale Difference Sequencesp. 53
Referencesp. 62
Asymptotic Normalityp. 65
Convergence in Distributionp. 65
Hypothesis Testingp. 74
Asymptotic Efficiencyp. 83
Referencesp. 111
Central Limit Theoryp. 113
Independent Identically Distributed Observationsp. 114
Independent Heterogeneously Distributed Observationsp. 117
Dependent Identically Distributed Observationsp. 122
Dependent Heterogeneously Distributed Observationsp. 130
Martingale Difference Sequencesp. 133
Referencesp. 136
Estimating Asymptotic Covariance Matricesp. 137
General Structure of V[subscript n]p. 137
Case 1: {Z[subscript t varepsilon subscript t]} Uncorrelatedp. 139
Case 2: {Z[subscript t varepsilon subscript t]} Finitely Correlatedp. 147
Case 3: {Z[subscript t varepsilon subscript t]} Asymptotically Uncorrelatedp. 154
Referencesp. 164
Functional Central Limit Theory and Applicationsp. 167
Random Walks and Wiener Processesp. 167
Weak Convergencep. 171
Functional Central Limit Theoremsp. 175
Regression with a Unit Rootp. 178
Spurious Regression and Multivariate FCLTsp. 184
Cointegration and Stochastic Integralsp. 190
Referencesp. 204
Directions for Further Studyp. 207
Extending the Data Generating Processp. 207
Nonlinear Modelsp. 209
Other Estimation Techniquesp. 209
Model Misspecificationp. 211
Referencesp. 211
Solution Setp. 213
Referencesp. 259
Indexp. 261
Table of Contents provided by Syndetics. All Rights Reserved.

ISBN: 9780127466521
ISBN-10: 0127466525
Series: Economic Theory, Econometrics, and Mathematical Economics
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 264
Published: 11th October 2000
Publisher: Emerald Publishing Limited
Country of Publication: GB
Dimensions (cm): 23.5 x 15.88  x 1.91
Weight (kg): 0.55
Edition Number: 2
Edition Type: Revised

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