Dynamic Nonlinear Econometric Models

Name: Dynamic Nonlinear Econometric Models
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 9783540628576
Price: 199.82 EUR
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Asymptotic Theory

Autor: Benedikt M. Pötscher, Ingmar R. Prucha

Jazyk:

Väzba: Pevná

Vydavateľ: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

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199.82 €

The book provides an extensive discussion of asymptotic theory of M-estimators in the context of dyn...

Informácie o knihe

Autor

Benedikt M. Pötscher, Ingmar R. Prucha

Jazyk

Angličtina

Väzba

Kniha - Pevná

Vydalo

1997

Stránok

312

EAN

9783540628576

ISBN

3540628576

Enbook ID

01566348

Vydavateľ

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Hmotnosť

1410

Rozmery

155 x 235 x 22

Kompletný popis

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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Dynamic Nonlinear Econometric Models

Asymptotic Theory

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