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Econometric Theory
James Davidson (Author)
9780631215844, Wiley
Paperback / softback, published 14 January 2000
528 pages
24.6 x 17.5 x 2.7 cm, 0.907 kg
"Davidson's book is a well-written introduction to the state of the art in econometric theory. It will be useful both as a text for advanced econometrics courses and as a reference source for econometricians. It provides a thorough treatment of the asymptotic analysis of the linear regression model, time series models, nonlinear optimization estimators, unit roots, and cointegration." Bruce E. Hansen, University of Wisconsin-Madison "The systematic use of the conditional expectation approach to modelling throughout the text will provide readers with many useful insights. It is a very good and thought-provoking book. Much can be learnt from it, even by 'experts.' Leonard Gill, University of Manchester "The book is stong on linear dynamic modelling of time series and has an excellent coverage of recent developments in econometrics for non-stationery time series. Cointegration theory is given a comprehensive and clear treatment, including an exposition of the underlying probability background - stockastic processes on function spaces, Brownian motion and so on - which I found to enhance understanding considerably. This will be a useful book, particularly to those teaching advanced courses in time-series econometrics. Overall, it is a fine and well-written piece of work.
Times Higher Education Supplement
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.
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
Subject Areas: Economics [KC]
