Econometric Theory

Name: Econometric Theory
Author: Davidson

Paperback Engels 2000 9780631215844

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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.

Specificaties

ISBN13:9780631215844

Taal:Engels

Bindwijze:paperback

Aantal pagina's:528

Uitgever:John Wiley & Sons

Verschijningsdatum:14-1-2000

Hoofdrubriek:Literatuur en romans

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Inhoudsopgave

Figures.
Symbols and Abbreviations.
Preface.

Part I: Basic Regression Theory.
1. The Linear Regression Model.
2. Statistical Analysis of the Regression Model.
3. Asymptotic Analysis of the Regression Model.

Part II: Dynamic Regression Theory.
4. Modelling Economic Time Series.
5. Principles of Dynamic Modelling.
6. Asymptotics for Dynamic Models.
7. Estimation and Testing.
8. Simultaneous Equations.

Part III: Advanced Estimation Theory.
9. Optimization Estimators I: Theory.
10. Optimization Estimators II: Examples.
11. The Method of Maximum Likelihood.
12. Testing Hypotheses.
13. System Estimation.

Part IV: Cointegration Theory.
14. Unit Roots.
15. Cointegrating Regression.
16. Cointegrated Systems.

Part V: Technical Appendices.
A. Matrix Algebra Basics.
B. Probability and Distribution Theory.
C. The Gaussian Distribution and Its Relatives.
References.
Author Index.
Subject Index.