Robust Methods and Asymptotic Theory in Nonlinear Econometrics

Language: English

Published by Springer, Springer Jun 1981, 1981

3540108386 / 9783540108382

  • Softcover
  • New
See all details

Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.

5-star seller

AbeBooks seller since January 11, 2012

View this seller's items
Softcover

Condition: New

US$ 64.06

US$ 26.74 shipping 
Ships from Germany to U.S.A.

Quantity: 2 available

Add to basket
Free 30-day returns

Item description from seller

This item is printed on demand - it takes 3-4 days longer - Neuware -This Lecture Note deals with asymptotic properties, i.e. weak and strong consistency and asymptotic normality, of parameter estimators of nonlinear regression models and nonlinear structural equations under various assumptions on the distribution of the data. The estimation methods involved are nonlinear least squares estimation (NLLSE), nonlinear robust M-estimation (NLRME) and non linear weighted robust M-estimation (NLWRME) for the regression case and nonlinear two-stage least squares estimation (NL2SLSE) and a new method called minimum information estimation (MIE) for the case of structural equations. The asymptotic properties of the NLLSE and the two robust M-estimation methods are derived from further elaborations of results of Jennrich. Special attention is payed to the comparison of the asymptotic efficiency of NLLSE and NLRME. It is shown that if the tails of the error distribution are fatter than those of the normal distribution NLRME is more efficient than NLLSE. The NLWRME method is appropriate if the distributions of both the errors and the regressors have fat tails. This study also improves and extends the NL2SLSE theory of Amemiya. The method involved is a variant of the instrumental variables method, requiring at least as many instrumental variables as parameters to be estimated. The new MIE method requires less instrumental variables. Asymptotic normality can be derived by employing only one instrumental variable and consistency can even be proved with out using any instrumental variables at all. 216 pp. Englisch.

Seller Inventory # 9783540108382

Title
Robust Methods and Asymptotic Theory in Nonlinear Econometrics
Author
H. J. Bierens
Publisher
Springer, Springer Jun 1981
Publication year
1981
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3540108386
ISBN 13
9783540108382
Item weight
382 grams
Dimensions
244x170x12 mm

BuchWeltWeit Ludwig Meier e.K.

Bergisch Gladbach, Germany

5-star seller

AbeBooks seller since January 11, 2012

Shipping rates from Germany to U.S.A.

Item5 to 15 business days5 to 15 business days
First itemUS$ 26.74US$ 26.74
Delivery times are set by sellers and vary by carrier and location. Orders passing through Customs may face delays and buyers are responsible for any associated duties or fees. Sellers may contact you regarding additional charges to cover any increased costs to ship your items.

Payment methods

  • Visa
  • Mastercard
  • American Express
  • Apple Pay
  • Google Pay
  • Bank Wire Transfer
  • Check
  • Paypal

Seller's business information

BuchWeltWeit Ludwig Meier e.K.

Germany