Econometric Theory / Edition 1 available in Paperback
- Pub. Date:
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 dimensions:||6.89(w) x 9.67(h) x 1.07(d)|
About the Author
James Davidson is Professor of Econometrics at Cardiff University. Contributor and referee for a number of leading research journals, Davidson is the author of Stochastic Limit Theory (1994). With an MSc in Econometrics and Mathematical Economics from the London School of Economics, he has taught at the University of Warwick, the London School of Economics, the University of California-San Diego, and the University of Wales, Aberystwyth.
Table of Contents
Symbols and Abbreviations.
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.