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Asymptotic theory for econometricians / / Halbert White



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Autore: White Halbert Visualizza persona
Titolo: Asymptotic theory for econometricians / / Halbert White Visualizza cluster
Pubblicazione: Orlando, Florida ; ; London, [England] : , : Academic Press, Inc. : , : Academic Press, Inc. (London) Ltd., , 1984
©1984
Descrizione fisica: 1 online resource (241 p.)
Disciplina: 330.015195
330/.01/5195
Soggetto topico: Econometrics - Asymptotic theory
Note generali: Description based upon print version of record.
Nota di bibliografia: Includes bibliographical references at the end of each chapters and index.
Nota di contenuto: Front Cover; Asymptotic Theory for Econometricians; Copyright Page; Dedication; Table of Contents; Preface; CHAPTER I. The Linear Model and Instrumental Variables Estimators; Text; References; For Further Reading; CHAPTER II. Consistency; II.1 Limits; II.2 Almost Sure Convergence; II.3 Convergence in Probability; II.4 Convergence in rth Mean; References; CHAPTER III. Laws of Large Numbers; III.1 Independent Identically Distributed Observations; III.2 Independent Heterogeneously Distributed Observations; III.3 Dependent Identically Distributed Observations
III.4 Dependent Heterogeneously Distributed ObservationsIII.5 Martingale Difference Sequences; References; CHAPTER IV. Asymptotic Normality; IV.1 Convergence in Distribution; IV.2 Hypothesis Testing; IV.3 Asymptotic Efficiency; References; CHAPTER V. Central Limit Theory; V.1 Independent Identically Distributed Observations; V.2 Independent Heterogeneously Distributed Observations; V.3 Dependent Identically Distributed Observations; V.4 Dependent Heterogeneously Distributed Observations; V.5 Martingale Difference Sequences; References; CHAPTER VI. Estimating Asymptotic Covariance Matrices
VI.1 General Structure of VnVI.2 Case 1: Ωn (Block) Diagonal; VI.3 Case 2: Ωn (Block) Band Diagonal; VI.4 Case 3: General Case; References; CHAPTER VII. Efficient Estimation with Estimated Error Covariance Matrices; VII.1 General Results; VII.2 Case 1: Contemporaneous Covariance; VII.3 Case 2: Heteroskedasticity; VII.4 Case 3: Serial Correlation; References; CHAPTER VIII. Directions For Further Study; VIII.1 Extensions of the Linear Model; VIII.2 Nonlinear Models; VIII.3 Other Estimation Techniques; VIII.4 Model Misspecification; References; Solution Set; Index
Sommario/riassunto: This book is intended to provide a somewhat more comprehensive and unified treatment of large sample theory than has been available previously and to relate the fundamental tools of asymptotic theory directly to many of the estimators of interest to econometricians. In addition, because economic data are generated in a variety of different contexts (time series, cross sections, time series--cross sections), we pay particular attention to the similarities and differences in the techniques appropriate to each of these contexts.
Titolo autorizzato: Asymptotic theory for econometricians  Visualizza cluster
ISBN: 1-4832-9442-0
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910786793703321
Lo trovi qui: Univ. Federico II
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Serie: Economic theory, econometrics, and mathematical economics.