Zobacz książki o podobnej tematyce

Więcej informacji o Dynamic Nonlinear Econometric Models

• Dane szczegółowe
• Opis
• Ulubione w innej kategorii

Za ten zakup dostaniesz 576 punkty

Opis

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.

Szczegóły książki

Kategoria Książki po angielsku Mathematics & science Mathematics Applied mathematics

• Pełny tytuł: Dynamic Nonlinear Econometric Models
• Podtytuł: Asymptotic Theory
• Autor: Benedikt M. Pötscher, Ingmar R. Prucha
• Język: Angielski
• Oprawa: Twarda
• Liczba stron: 312
• EAN: 9783540628576
• ISBN: 3540628576
• ID: 01566348
• Wydawca: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
• Waga: 1410 g
• Wymiary: 235 × 155 × 22 mm
• Data wydania: 17. July 1997

Ulubione w innej kategorii

---

---

---