Econometric Theory

James Davidson (Autor)

Buch | Softcover

528 Seiten

2000
Wiley-Blackwell (Verlag)
978-0-631-21584-4 (ISBN)

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* Covers time series modelling in detail* Discusses recent advances in estimation and testing theory, cointegration and unit roots* Presents unique treatment of modern asymptotic theory for time series* Incorporates material from lectures given at London School of Economics. .

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.

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.

Figures xv

Symbols and Abbreviations xvi

Preface xx

Part I: Basic Regression Theory 1

1. The Linear Regression Model 3

2. Statistical Analysis of the Regression Model 17

3. Asymptotic Analysis of the Regression Model 37

Part II: Dynamic Regression Theory 57

4. Modelling Economic Time Series 59

5. Principles of Dynamic Modelling 84

6. Asymptotics for Dynamic Models 119

7. Estimation and Testing 140

8. Simultaneous Equations 172

Part III: Advanced Estimation Theory 197

9. Optimization Estimators I: Theor 199

10. Optimization Estimators II: Examples 234

11. The Method of Maximum Likelihood 262

12. Testing Hypotheses 283

13. System Estimation 308

Part IV: Cointegration Theory 335

14. Unit Roots 337

15. Cointegrating Regression 360

16. Cointegrated Systems 388

Part V: Technical Appendices 427

A. Matrix Algebra Basics 429

B. Probability and Distribution Theory 441

C. The Gaussian Distribution and Its Relatives 461

References 469

Author Index 485

Subject Index 489

Erscheint lt. Verlag	14.1.2000
Verlagsort	Hoboken
Sprache	englisch
Maße	175 x 246 mm
Gewicht	907 g
Themenwelt	Wirtschaft ► Allgemeines / Lexika
Themenwelt	Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
ISBN-10	0-631-21584-0 / 0631215840
ISBN-13	978-0-631-21584-4 / 9780631215844
Zustand	Neuware