Dynamic Nonlinear Econometric Models

Asymptotic Theory

By: Benedikt M. Potscher, Ingmar R. Prucha

Write A Review

Hardcover | 17 July 1997

At a Glance

Hardcover
328 Pages

Dimensions(cm)
24.77 x 16.51 x 2.54

Hardcover

$329.75

or 4 interest-free payments of $82.44 with

Ships in 5 to 7 business days

Many relationships in economics, and also in other fields, are both dynamic and nonlinear. A major advance in econometrics over the last fifteen years has been the development of a theory of estimation and inference for dy namic nonlinear models. This advance was accompanied by improvements in computer technology that facilitate the practical implementation of such estimation methods. In two articles in Econometric Reviews, i.e., Potscher and Prucha {1991a,b), we provided -an expository discussion of the basic structure of the asymptotic theory of M-estimators in dynamic nonlinear models and a review of the literature up to the beginning of this decade. Among others, the class of M-estimators contains least mean distance estimators (includ ing maximum likelihood estimators) and generalized method of moment estimators. The present book expands and revises the discussion in those articles. It is geared towards the professional econometrician or statistician. Besides reviewing the literature we also presented in the above men tioned articles a number of then new results. One example is a consis tency result for the case where the identifiable uniqueness condition fails.

Shipping

	Standard Shipping	Express Shipping
Metro postcodes:	$9.99	$14.95
Regional postcodes:	$9.99	$14.95
Rural postcodes:	$9.99	$14.95

Orders over $0.00 qualify for free shipping.

How to return your order

At Booktopia, we offer hassle-free returns in accordance with our returns policy. If you wish to return an item, please get in touch with Booktopia Customer Care.

Additional postage charges may be applicable.

Defective items

If there is a problem with any of the items received for your order then the Booktopia Customer Care team is ready to assist you.

For more info please visit our Help Centre.

You Can Find This Book In

Non-Fiction Mathematics Probability & Statistics Economics Economic Theory & Philosophy Optimisation Game Theory Applied Mathematics Mathematical Modelling Econometrics Economic Statistics

Preface
Introduction	p. 1
Models, Data Generating Processes, and Estimators	p. 9
Basic Structure of the Classical Consistency Proof	p. 15
Further Comments on Consistency Proofs	p. 23
Uniform Laws of Large Numbers	p. 37
Approximation Concepts and Limit Theorems	p. 45
Consistency: Catalogues of Assumptions	p. 79
Basic Structure of the Asymptotic Normality Proof	p. 83
Asymptotic Normality under Nonstandard Conditions	p. 95
Central Limit Theorems	p. 99
Asymptotic Normality: Catalogues of Assumptions	p. 105
Heteroskedasticity and Autocorrelation Robust Estimation of Variance Covariance Matrices	p. 121
Consistent Variance Covariance Matrix Estimation: Catalogues of Assumptions	p. 137
Quasi Maximum Likelihood Estimation of Dynamic Nonlinear Simultaneous Systems	p. 145
Concluding Remarks	p. 171
Proofs	p. 175
References	p. 287
Index	p. 305
Table of Contents provided by Blackwell. All Rights Reserved.

Dynamic Nonlinear Econometric Models

Asymptotic Theory

At a Glance

Hardcover

Shipping

How to return your order

Defective items

You Can Find This Book In

More in Economics

The Land Trap

A New History of the World's Oldest Asset

Fed Up

A Chef's Adventures in Food, Farming and Feminism

A Guide to the Project Management Body of Knowledge (PMBOK Guide) - English

7th edition

The World for Sale

Money, Power and the Traders Who Barter the Earth's Resources

A History of Central Banking and the Enslavement of Mankind

Think and Grow Rich

The Landmark Bestseller--Now Revised and Updated for the 21st Century

The Bookseller at the End of the World

The Trading Game

A Confession

Abundance

How We Build a Better Future

Goliath's Curse

The History and Future of Societal Collapse

1929

The Inside Story of The Greatest Crash in Wall Street History

The Culture Code

The Secrets of Highly Successful Groups

Lying for Money

How Legendary Frauds Reveal the Workings of Our World

A History of Central Banking and the Enslavement of Mankind

Retirement Made Simple

Hillbilly Elegy

The Internationally Bestselling Memoir from Trump's Future Vice-President of the United States

Bullshit Jobs

A Theory

Principles of Microeconomics 9e + Principles of Macroeconomics Value Pack

9th Edition

The Bitcoin Standard

The Decentralized Alternative to Central Banking

London Falling

A Mysterious Death in a Gilded City, and a Family's Search for Truth

Putin's People

How the KGB Took Back Russia and then Took On the West

The Anarchy

The Relentless Rise of the East India Company

The 8 Laws of Employee Experience

How to Build a Future-Ready Organization

Blindspotting

How to see what others miss

This product is categorised by