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From the Publisher"Davidson's book is a well-written introduction to the state of theart in econometric theory. It will be useful both as a text foradvanced econometrics courses and as a reference source foreconometricians. It provides a thorough treatment of the asymptoticanalysis of the linear regression model, time series models,nonlinear optimization estimators, unit roots, and cointegration."Bruce E. Hansen, University of Wisconsin-Madison
"The systematic use of the conditional expectation approach tomodelling throughout the text will provide readers with many usefulinsights. It is a very good and thought-provoking book. Much can belearnt from it, even by 'experts.' Leonard Gill, University ofManchester
"The book is stong on linear dynamic modelling of time seriesand has an excellent coverage of recent developments ineconometrics for non-stationery time series. Cointegration theoryis given a comprehensive and clear treatment, including anexposition of the underlying probability background - stockasticprocesses on function spaces, Brownian motion and so on - which Ifound to enhance understanding considerably. This will be a usefulbook, particularly to those teaching advanced courses intime-series econometrics. Overall, it is a fine and well-writtenpiece of work.
Times Higher Education Supplement