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Könyv Dynamic Nonlinear Econometric Models Benedikt M. Pötscher

Dynamic Nonlinear Econometric Models

Asymptotic Theory

Szerző: Benedikt M. Pötscher, Ingmar R. Prucha
Nyelv: Angol
Kötés: Kemény kötésű
Kiadó: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Elérhetőség: Beszállítói készleten
Küldés 10-13 napon belül
76 883 Ft
The book provides an extensive discussion of asymptotic theory of M-estimators in the context of dyn...

Információk a könyvről

Szerző
Benedikt M. Pötscher, Ingmar R. Prucha
Nyelv
Angol
Kötés
Könyv - Kemény kötésű
Kiadva
1997
oldal
312
EAN
9783540628576
ISBN
3540628576
Enbook ID
01566348
Kiadó
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Súly
1410
Méretek
155 x 235 x 22

Teljes leírás

The book provides an extensive discussion of asymptotic theory of M-estimators in the context of dynamic nonlinear models. The class of M-estimators contains least mean distance estimators (including maximum likelihood estimators) and generalized method of moments estimators. In addition to establishing the asymptotic properties of such estimators, the book provides a detailed discussion of the statistical and probabilistic tools necessary for such an analysis. The book also gives a careful treatment of estimators of asymptotic variance covariance matrices for dependent processes. TOC:From the contents: Preface.- Introduction.- Models, Data Generating Processes, and Estimators.- Basic Structure of the Classical Consistency Proof.- Further Comments on Consistency Proofs.- Uniform Laws of Large Numbers.- Approximation Concepts and Limit Theorems.- Consistency: Catalogues of Assumptions.- Basic Structure of the Asymptotic Normality Proof.- Asymptotic Normality under Nonstandard Conditions.- Central Limit Theorems.- Asymptotic Normality: Catalogues of Assumptions.- Heteroskedasticity and Autocorrelation Robust Estimation of Variance Covariance Matrices.- Consistent Variance Covariance Matrix Estimation: Catalogues of Assumptions.- Quast Maximum Likelihood Estimation of Dynamic Nonlinear Simultaneous Systems.- Concluding Remarks.- References.- Index.

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