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Econometric Theory de James Davidson

Econometric Theory

Autor James Davidson, Meyer Davidson
en Limba Engleză Paperback – 14 ian 2000
This book surveys recent developments in the rapidly expanding field of asymptotic distribution theory, placing special emphasis on the problems of time-dependence and heterogeneity. It is technically self-contained, with all but the most basic mathematical prerequisites being explained in their context.
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Specificații

ISBN-13: 9780631215844
ISBN-10: 0631215840
Pagini: 528
Dimensiuni: 178 x 254 x 28 mm
Greutate: 0.98 kg
Ediția:New.
Editura: Wiley
Locul publicării:Chichester, United Kingdom

Public țintă

graduate and advanced graduates in econometric theory

Notă biografică

James Davidson is Professor of Econometrics at Cardiff University. Contributor and referee for a number of leading research journals, Davidson is the author of Stochastic Limit Theory (1994). With an MSc in Econometrics and Mathematical Economics from the London School of Economics, he has taught at the University of Warwick, the London School of Economics, the University of California-San Diego, and the University of Wales, Aberystwyth.

Cuprins

Figures xv
Symbols and Abbreviations xvi
Preface xx
Part I: Basic Regression Theory 1
1. The Linear Regression Model 3
2. Statistical Analysis of the Regression Model 17
3. Asymptotic Analysis of the Regression Model 37
Part II: Dynamic Regression Theory 57
4. Modelling Economic Time Series 59
5. Principles of Dynamic Modelling 84
6. Asymptotics for Dynamic Models 119
7. Estimation and Testing 140
8. Simultaneous Equations 172
Part III: Advanced Estimation Theory 197
9. Optimization Estimators I: Theor 199
10. Optimization Estimators II: Examples 234
11. The Method of Maximum Likelihood 262
12. Testing Hypotheses 283
13. System Estimation 308
Part IV: Cointegration Theory 335
14. Unit Roots 337
15. Cointegrating Regression 360
16. Cointegrated Systems 388
Part V: Technical Appendices 427
A. Matrix Algebra Basics 429
B. Probability and Distribution Theory 441
C. The Gaussian Distribution and Its Relatives 461
References 469
Author Index 485
Subject Index 489

Descriere

* Covers time series modelling in detail* Discusses recent advances in estimation and testing theory, cointegration and unit roots* Presents unique treatment of modern asymptotic theory for time series* Incorporates material from lectures given at London School of Economics. .