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Viac informácií o knihe Dynamic Nonlinear Econometric Models

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Anotácia knihy

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.

Parametre knihy

Zaradenie knihy Knihy po anglicky Mathematics & science Mathematics Applied mathematics

• Celý názov: Dynamic Nonlinear Econometric Models
• Podnázov: Asymptotic Theory
• Autor: Benedikt M. Pötscher, Ingmar R. Prucha
• Jazyk: Angličtina
• Väzba: Pevná
• Počet strán: 312
• EAN: 9783540628576
• ISBN: 3540628576
• ID: 01566348
• Nakladateľ: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
• Hmotnosť: 1410 g
• Rozmery: 235 × 155 × 22 mm
• Dátum vydania: 17. July 1997

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