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

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9780198774037: Stochastic Limit Theory: An Introduction for Econometricicans (Advanced Texts in Econometrics)

This major new econometrics text surveys recent developments in the rapidly expanding field of asymptotic distribution theory, with a special emphasis on the problems of time dependence and heterogeneity. Designed for econometricians and advanced students with limited mathematical training, the book clearly lays out the necessary math and probability theory and uses numerous examples to make its data useful and comprehensible. It also includes original new material from Davidson's own research on central limit theorems.

About the Series
Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.

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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


"About this title" may belong to another edition of this title.

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Book Description Oxford University Press, United Kingdom, 1994. Paperback. Book Condition: New. Language: English . Brand New Book ***** Print on Demand *****. 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 include: 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. Bookseller Inventory # AAV9780198774037

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Book Description Oxford University Press, United Kingdom, 1994. Paperback. Book Condition: New. Language: English . Brand New Book ***** Print on Demand *****.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 include: 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. Bookseller Inventory # AAV9780198774037

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Book Description OUP Oxford. Paperback. Book Condition: New. 568 pages. Dimensions: 9.2in. x 6.1in. x 1.2in.This major new econometrics text surveys recent developments in the rapidly expanding field of asymptotic distribution theory, with a special emphasis on the problems of time dependence and heterogeneity. Designed for econometricians and advanced students with limited mathematical training, the book clearly lays out the necessary math and probability theory and uses numerous examples to make its data useful and comprehensible. It also includes original new material from Davidsons own research on central limit theorems. About the SeriesAdvanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Paperback. Bookseller Inventory # 9780198774037

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