Econometric Theory / Edition 1

Econometric Theory / Edition 1

by James Davidson, M.D. Meyer Davidson
     
 

ISBN-10: 0631215840

ISBN-13: 9780631215844

Pub. Date: 04/17/2000

Publisher: Wiley

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.

Overview

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.

Product Details

ISBN-13:
9780631215844
Publisher:
Wiley
Publication date:
04/17/2000
Edition description:
New Edition
Pages:
528
Product dimensions:
6.89(w) x 9.67(h) x 1.07(d)

Table of Contents

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.

Customer Reviews

Average Review:

Write a Review

and post it to your social network

     

Most Helpful Customer Reviews

See all customer reviews >