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

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9780127466507: Asymptotic Theory for Econometricians (Economic Theory, Econometrics, and Mathematical Economics)
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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.

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The amount of financial data created every day by world stock markets, world governments, financial institutions, and other sources, is increasing at an enormous rate. Economists and financial analysts need tools to manage these large sets of data in a timely and accurate way. Classical linear models of economics have failed to deal with such large amounts of data, and asymptotic theory isthetool that economists have come to rely on for this type of data management.
Large sample theory and the fundamental tools of asymptotic theory converge in this thoroughly revised edition ofAsymptotic Theory for Econometricians.New material on functional central limit theory and its applications, material on cointegration, and many small points make this Revised Edition a comprehensive and unified treatment of large sample theory. The scope of the book remains the same as that of the First Edition, with sufficient material to fill a full year's course work. This edition also contains updated material on asymptotically efficient instrumental variables estimation, efficient estimation with estimated error covariance matrices, and efficient IV estimation. Exercise solutions have also been updated and expanded.
Asymptotic Theory for Econometriciansis intended both as a reference for practicing econometricians and financial analysts and as a textbook for graduate students taking courses in econometrics beyond the introductory level. It assumes that the reader is familiar with the basic concepts of probability and statistics as well as with calculus and linear algebra, and that the reader also has a good understanding of the classical linear model.

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Other Popular Editions of the Same Title

9780127466521: Asymptotic Theory for Econometricians: Revised Edition (Economic Theory, Econometrics, and Mathematical Economics) (Economic Theory, Econometrics, & Mathematical Economics)

Featured Edition

ISBN 10:  0127466525 ISBN 13:  9780127466521
Publisher: Emerald Group Publishing Limited, 2000
Hardcover

9781493308644: Asymptotic Theory for Econometricians

Academ..., 2014
Softcover

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