Asymptotic theory for econometricians

＜図書＞
Asymptotic theory for econometricians

責任表示	Halbert White
シリーズ	Economic theory, econometrics, and mathematical economics
データ種別	図書
出版情報	Orlando ; San Diego : Academic Press , 1984
本文言語	英語
大きさ	x, 228 p. ; 24 cm
概要	This book provides the tools and concepts necessary to study the behavior of econometric estimators and test statistics in large samples. An econometric estimator is a solution to an optimization prob...em; that is, a problem that requires a body of techniques to determine a specific solution in a defined set of possible alternatives that best satisfies a selected object function or set of constraints. Thus, this highly mathematical book investigates situations concerning large numbers, in which the assumptions of the classical linear model fail. Economists, of course, face these situations often. Key Features * Completely revised Chapter Seven on functional central limit theory and its applications, specifically unit root regression, spurious regression, and regression with cointegrated processes * Updated material on: * Central limit theory * Asymptotically efficient instrumental variables estimation * Estimation of asymptotic covariance matrices * Efficient estimation with estimated error covariance matrices * Efficient IV estimation 続きを見る

一般注記	Includes bibliographies and index
著者標目	*White, Halbert
件　名	LCSH:Econometrics -- Asymptotic theory 全ての件名で検索
分　類	LCC:HB139 DC19:330/.028
書誌ID	1000472459
ISBN	0127466509
NCID	BA01453321
巻冊次	ISBN:0127466509
登録日	2009.09.14
更新日	2009.09.17