White / Shell Asymptotic Theory for Econometricians

1. Auflage 2014
ISBN: 978-1-4832-9442-1
Verlag: Elsevier Science & Techn.
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 288 Seiten, Web PDF

Reihe: Economic Theory, Econometrics, and Mathematical Economics

This book is intended to provide a somewhat more comprehensive and unified treatment of large sample theory than has been available previously and to relate the fundamental tools of asymptotic theory directly to many of the estimators of interest to econometricians. In addition, because economic data are generated in a variety of different contexts (time series, cross sections, time series--cross sections), we pay particular attention to the similarities and differences in the techniques appropriate to each of these contexts.

Autoren/Hrsg.

White, Halbert

Shell, Karl

Inhaltsverzeichnis

1;Front Cover;1
2;Asymptotic Theory for Econometricians;4
3;Copyright Page;5
4;Table of Contents;8
5;Dedication;6
6;Preface;10
7;CHAPTER I. The Linear Model and Instrumental Variables Estimators;12
7.1;Text;12
7.2;References;23
7.3;For Further Reading;23
8;CHAPTER II. Consistency;24
8.1;II.1 Limits;24
8.2;II.2 Almost Sure Convergence;27
8.3;II.3 Convergence in Probability;33
8.4;II.4 Convergence in rth Mean;38
8.5;References;39
9;CHAPTER III. Laws of Large Numbers;40
9.1;III.1 Independent Identically Distributed Observations;40
9.2;III.2 Independent Heterogeneously Distributed Observations;43
9.3;III.3 Dependent Identically Distributed Observations;47
9.4;III.4 Dependent Heterogeneously Distributed Observations;54
9.5;III.5 Martingale Difference Sequences;62
9.6;References;71
10;CHAPTER IV. Asymptotic Normality;72
10.1;IV.1 Convergence in Distribution;72
10.2;IV.2 Hypothesis Testing;80
10.3;IV.3 Asymptotic Efficiency;89
10.4;References;117
11;CHAPTER V. Central Limit Theory;118
11.1;V.1 Independent Identically Distributed Observations;119
11.2;V.2 Independent Heterogeneously Distributed Observations;122
11.3;V.3 Dependent Identically Distributed Observations;126
11.4;V.4 Dependent Heterogeneously Distributed Observations;135
11.5;V.5 Martingale Difference Sequences;138
11.6;References;141
12;CHAPTER VI. Estimating Asymptotic Covariance Matrices;143
12.1;VI.1 General Structure of Vn;143
12.2;VI.2 Case 1: On (Block) Diagonal;145
12.3;VI.3 Case 2: On (Block) Band Diagonal;153
12.4;VI.4 Case 3: General Case;158
12.5;References;172
13;CHAPTER VII. Efficient Estimation with Estimated Error Covariance Matrices;173
13.1;VII.1 General Results;174
13.2;VII.2 Case 1: Contemporaneous Covariance;175
13.3;VII.3 Case 2: Heteroskedasticity;182
13.4;VII.4 Case 3: Serial Correlation;189
13.5;References;196
14;CHAPTER VIII. Directions For Further Study;197
14.1;VIII.1 Extensions of the Linear Model;197
14.2;VIII.2 Nonlinear Models;198
14.3;VIII.3 Other Estimation Techniques;199
14.4;VIII.4 Model Misspecification;200
14.5;References;200
15;Solution Set;202
16;Index;236