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.
| ISBN: | 9780127466521 |
| Publication date: | 11th October 2000 |
| Author: | Halbert White |
| Publisher: | Academic Press an imprint of Emerald Group Publishing Limited |
| Format: | Hardback |
| Pagination: | 264 pages |
| Series: | Economic Theory, Econometrics, and Mathematical Economics |
| Genres: |
Econometrics and economic statistics |
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.
Asymptotic Theory for Econometricians features in the following genres: Econometrics and economic statistics
Asymptotic Theory for Econometricians is available in Ebook, Hardback
Asymptotic Theory for Econometricians was written by Halbert White and published by Academic Press an imprint of Emerald Group Publishing Limited
Asymptotic Theory for Econometricians has 264 pages
Yes it is part of Economic Theory, Econometrics, and Mathematical Economics series