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<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
Rev. ed
出版者 San Diego ; Tokyo : Academic Press
出版年 c2001
本文言語 英語
大きさ xiii, 264 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

所蔵情報


中央図 自動書庫 017212007005047 331.19/W 68/20070504 2007

書誌詳細

一般注記 Previous ed.: c1984
Includes bibliographical references and index
著者標目 *White, Halbert
件 名 LCSH:Econometrics -- Asymptotic theory  全ての件名で検索
分 類 NDC9:331.19
LCC:HB139
DC19:330/.028
書誌ID 1001206747
ISBN 9780127466521
NCID BA48996433
巻冊次 ISBN:9780127466521 ; XISBN:0127466525
登録日 2009.09.18
更新日 2009.09.18

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