Stochastic Limit Theory: An Introduction for Econometricicans (Advanced Texts in Econometrics) - Hardcover

Davidson, James

Hardcover

ISBN 10: 0198774028 ISBN 13: 9780198774020

Publisher: Oxford University Press, 1994

Synopsis

This is a survey of the recent developments in the rapidly expanding field of asymptotic distribution theory, with a special emphasis on the problems of time dependence and heterogeneity. The book is designed to be useful on two levels. First as a textbook and reference work, giving definitions of the relevant mathematical concepts, statements, and proofs of the important results from the probability literature, and numerous examples; and second, as an account of recent work in the field of particular interest to econometricians, including a number of important new results. It is virtually self-contained, with all but the most basic technical prerequisites being explained in their context; mathematical topics include measure theory, integration, metric spaces, and topology, with applications to random variables, and an extended treatment of conditional probability. Other subjects treated stochastic processes, mixing processes, martingales, mixingales, and near-epoch dependence; the weak and strong laws of large numbers; weak convergence; and central limit theorems for nonstationary and dependent processes. The functional central limit theorem and its ramifications are covered in detail, including an account of the theoretical underpinnings (the weak convergence of measures on metric spaces), Brownian motion, the multivariate invariance principle, and convergence to stochastic integrals. This material is of special relevance to the theory of cointegration.

About this title

About the Author

James Davidson is at University of Wales, Aberystwyth.

Review

"An excellent text."--W.G. Park, Assistant Professor of Economics, American University

"The chapters on the law of large numbers are superb. This book lays the foundation for serious econometrics. I wish I had spent a year studying it before graduate school. Well done!"--Henry Thompson, Auburn University

Edition details

• Publisher: Oxford University Press
• Publication date: 1994
• ISBN 10: 0198774028
• ISBN 13: 9780198774020
• Binding: Hardcover
• Language: English
• Number of pages: 562