Asymptotic Theory for Econometricians (Economic Theory, Econometrics, and Mathematical Economics)

著者 : HalbertWhite

• Emerald Group Pub Ltd (2000年10月1日発売)

作品紹介・あらすじ

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 problem; 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. It includes completely revised chapter seven on functional central limit theory and its applications, specifically unit root regression, spurious regression, and regression with cointegrated processes. It includes updated material on: central limit theory; asymptotically efficient instrumental variables estimation; estimation of asymptotic covariance matrices; efficient estimation with estimated error covariance matrices; and efficient IV estimation.

感想・レビュー・書評

[librarylovers2012さんの感想 · 2012年10月11日]

「社会科学&産業」分野第10位...（教育分野を除く）

[hesukeさんの感想 · 2009年11月24日]

330.18/W58　I　漸近

[tetsuyasさんの感想 · 2009年6月19日]

なぜか進まないんだ．とても良いのに．