Asymptotic theory for econometricians:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Bingley
Emerald
2001
|
| Ausgabe: | Rev. ed. |
| Schriftenreihe: | Economic theory, econometrics, and mathematical economics series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Klappentext |
| Beschreibung: | XIII, 264 S. |
| ISBN: | 9780127466521 0127466525 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804148931241705472 |
|---|---|
| adam_text | Contents
Preface
to the First Edition
ix
Preface to the Revised Edition
xi
References
............................ xiii
1
The Linear Model and Instrumental Variables Estimators
1
References
............................ 12
For Further Reading
...................... 12
2
Consistency
15
2.1
Limits
.............................. 15
2.2
Almost Sure Convergence
................... 18
2.3
Convergence in Probability
.................. 24
2.4
Convergence in rth Mean
................... 28
References
............................ 30
3
Laws of Large Numbers
31
3.1
Independent Identically Distributed Observations
...... 32
3.2
Independent Heterogeneously Distributed Observations
... 35
3.3
Dependent Identically Distributed Observations
....... 39
3.4
Dependent Heterogeneously Distributed Observations
... 46
3.5
Martingale Difference Sequences
............... 53
References
............................ 62
viii Contents
4
Asymptotic Normality
65
4.1
Convergence in Distribution
.................. 65
4.2
Hypothesis Testing
....................... 74
4.3
Asymptotic Efficiency
..................... 83
References
............................
m
5
Central Limit Theory
113
5.1
Independent Identically Distributed Observations
...... 114
5.2
Independent Heterogeneously Distributed Observations
. . . 117
5.3
Dependent Identically Distributed Observations
....... 122
5.4
Dependent Heterogeneously Distributed Observations
. . . 130
5.5
Martingale Difference Sequences
............... 133
References
............................ 136
6
Estimating Asymptotic Covariance Matrices
137
6.1
General Structure of Vn
.................... 137
6.2
Case
1:
{Ztet} Uncorrelated
.................. 139
6.3
Case
2:
{Ztet} Finitely Correlated
.............. 147
6.4
Case
3:
{Ztet} Asymptotically Uncorrelated
......... 154
References
............................ 164
7
Functional Central Limit Theory and Applications
167
7.1
Random Walks and Wiener Processes
............ 167
7.2
Weak Convergence
....................... 171
7.3
Functional Central Limit Theorems
.............. 175
7.4
Regression with a Unit Root
................. 178
7.5
Spurious Regression and Multivariate FCLTs
........ 184
7.6
Cointegration
and Stochastic Integrals
............ 190
References
............................ 204
8
Directions for Further Study
207
8.1
Extending the Data Generating Process
........... 207
8.2
Nonlinear Models
........................ 209
8.3
Other Estimation Techniques
................. 209
8.4
Model Misspecification
..................... 211
References
............................ 211
Solution Set
213
References
............................ 259
Index
261
The amount of financial data created every day by world stock markets,
world governments, financial institutions, and other sources, is
increasing at an enormous rate. Economists and financial analysts need
tools to manage these large sets of data in a timely and accurate way.
Classical linear models of economics have failed to deal with such large
amounts of data, and asymptotic theory is the tool that economists have
come to rely on for this type of data management.
Large sample theory and the fundamental tools of asymptotic theory
converge in this thoroughly revised edition of Asymptotic Theory foT
Econometricians New material on functional central limit theory and its
applications, material on
cointegration,
and many small points make this
Revised Edition a comprehensive and unified treatment of large sample
theory. The scope of the book remains the same as that of the First Edition,
with sufficient material to fill a full year s course work. This edition also
contains updated material on asymptotically efficient instrumental
variables estimation, efficient estimation with estimated error covariance
matrices, and efficient IV estimation. Exercise solutions have also been
updated and expanded.
Asymptotic Theory foT Econometn rians is intended both as a reference
for practicing econometricians and financial analysts and as a textbook for
graduate students taking courses in econometrics beyond the introductory
level. It assumes that the reader is familiar with the basic concepts of
probability and statistics as well as with calculus and linear algebra, and
that the reader also has a good understanding of the classical linear model.
|
| any_adam_object | 1 |
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| author_GND | (DE-588)121759946 |
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| bvnumber | BV039957614 |
| classification_rvk | QH 300 |
| ctrlnum | (OCoLC)815882352 (DE-599)HBZHT016751077 |
| discipline | Wirtschaftswissenschaften |
| edition | Rev. ed. |
| format | Book |
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| id | DE-604.BV039957614 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T00:14:58Z |
| institution | BVB |
| isbn | 9780127466521 0127466525 |
| language | English |
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| physical | XIII, 264 S. |
| publishDate | 2001 |
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| publisher | Emerald |
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| series2 | Economic theory, econometrics, and mathematical economics series |
| spelling | White, Halbert 1950-2012 Verfasser (DE-588)121759946 aut Asymptotic theory for econometricians Halbert White Rev. ed. Bingley Emerald 2001 XIII, 264 S. txt rdacontent n rdamedia nc rdacarrier Economic theory, econometrics, and mathematical economics series Econometrics Asymptotic theory Ökonometrie (DE-588)4132280-0 gnd rswk-swf Asymptotische Statistik (DE-588)4203167-9 gnd rswk-swf Asymptotische Methode (DE-588)4287476-2 gnd rswk-swf Asymptotik (DE-588)4126634-1 gnd rswk-swf Ökonometrie (DE-588)4132280-0 s Asymptotische Statistik (DE-588)4203167-9 s DE-604 Asymptotik (DE-588)4126634-1 s 1\p DE-604 Asymptotische Methode (DE-588)4287476-2 s 2\p DE-604 Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024815412&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024815412&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | White, Halbert 1950-2012 Asymptotic theory for econometricians Econometrics Asymptotic theory Ökonometrie (DE-588)4132280-0 gnd Asymptotische Statistik (DE-588)4203167-9 gnd Asymptotische Methode (DE-588)4287476-2 gnd Asymptotik (DE-588)4126634-1 gnd |
| subject_GND | (DE-588)4132280-0 (DE-588)4203167-9 (DE-588)4287476-2 (DE-588)4126634-1 |
| title | Asymptotic theory for econometricians |
| title_auth | Asymptotic theory for econometricians |
| title_exact_search | Asymptotic theory for econometricians |
| title_full | Asymptotic theory for econometricians Halbert White |
| title_fullStr | Asymptotic theory for econometricians Halbert White |
| title_full_unstemmed | Asymptotic theory for econometricians Halbert White |
| title_short | Asymptotic theory for econometricians |
| title_sort | asymptotic theory for econometricians |
| topic | Econometrics Asymptotic theory Ökonometrie (DE-588)4132280-0 gnd Asymptotische Statistik (DE-588)4203167-9 gnd Asymptotische Methode (DE-588)4287476-2 gnd Asymptotik (DE-588)4126634-1 gnd |
| topic_facet | Econometrics Asymptotic theory Ökonometrie Asymptotische Statistik Asymptotische Methode Asymptotik |
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