Asymptotic Theory for Econometricians pdf epub mobi txt 電子書下載2025

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出版者:Academic Press

作者:Halbert White

出品人:

頁數:264

译者:

出版時間:2000-10-11

價格:USD 115.95

裝幀:Hardcover

isbn號碼:9780127466521

叢書系列:

圖書標籤:

Econometrics
計量經濟學
計量
Statistics
Mathematics
Finance
美國
美國
Econometrics
Asymptotic Theory
Statistical Inference
Mathematical Economics
Probability
Limit Theorems
Consistency
Convergence
Estimation
Hypothesis Testing

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具體描述

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.